Background. Undernutrition and major depressive disorder are frequently co-occurring. Patients with impaired mental health are strongly vulnerable to the risks of having involuntary weight loss or deficiency of essential nutrients. However, there is no study which assesses undernutrition among major depressive patients in Ethiopia. Method. A total of 422 clients were included in the study. Structured questionnaires and anthropometric measurements were used for collecting the data. Bivariate and multivariate logistic regression model was fitted to identify factors associated with undernutrition. Odds ratio with 95% confidence interval was computed to determine the level of significance. Results. The prevalence of undernutrition was 31.4% [95% CI: 27.2–36.0]. Being in a rural residence [AOR = 1.84, 95% CI (1.18–2.85)], taking multiple medication [AOR = 1.77, 95% CI (1.03–3.05)], taking prescribed diet [AOR = 1.90, 95% CI (1.06–3.41)], and current use of alcohol [AOR = 2.96, 95% CI (1.34–6.55)] were factors significantly associated with undernutrition among depressive patients. Conclusion. The prevalence of undernutrition among adults with major depressive disorder was found to be higher than the general population. Appropriate nutritional education and nutritional assessment are recommended during the course of major depressive disorder.