Objectives This study aims to assess the prevalence of depressive symptoms among healthcare workers and possible factors associated with this outcome (resilience, spirituality, social support, quality of life, among other individual variables). Our hypothesis is that some of these factors can have a protective effect on depressive symptoms. Design Web-based cross-sectional survey. Setting Participants were recruited online from 16 April to 23 April 2020. Participants 1043 healthcare workers, predominantly Brazilians, aged 18 years or older. Primary and secondary outcome measures Depression was the primary outcome, measured using the Patient Health Questionnaire-9 (PHQ-9). Possible protective factors were measured in the following ways: social support was assessed by the modified Medical Outcomes Study Social Support Survey (mMOS-SS); spirituality, religiousness and personal beliefs (SRPB) were evaluated using the 9-item SRPB module of the brief WHO Quality of Life instrument (WHOQoL-SRPB-bref); quality of life was assessed using the brief EUROHIS instrument for Quality of Life (EUROHIS-QoL 8-item); resilience was assessed using the 10-item Connor-Davidson Resilience Scale (CD-RISC 10). Results 23% met the criteria for depression according to the PHQ-9 scale. Quality of life (B=−3.87 (−4.30 to −3.43), β=−0.37, p<0.001), social support (B=−0.32 (−0.59 to −0.05), β=−0.04, p=0.022), resilience (B=−0.19 (−0.23 to −0.15), β=−0.20, p<0.001), SRPB (B=−0.03 (−0.05 to −0.02), β=−0.01, p<0.001) and physical exercise (B=−0.95 (−1.40 to −0.51), β=−0.08, p<0.001) demonstrated protective effects against depression. Conclusion Healthcare workers have a high risk of developing depressive symptoms during the COVID-19 pandemic, especially those working in the front line. However, there are factors that seem to work as protective mechanisms against depression, notably perceived quality of life.