Background Depression in asthma patients can cause worsening of respiratory symptoms. Addressing mental illness in those with asthma improves asthma outcomes. This study aimed to assess the epidemiology of depression and associated factors among asthma patients attending government hospitals in Ethiopia. Methods Institutional based cross-sectional study was conducted on patients with asthma at three governmental hospitals of Addis Ababa from June to July 2017. Patient health questionnaire (PHQ-9) depression scale was used to assess prevalence of depression among asthmatic patients. The data were entered and analyzed using SPSS version 20 statistical software. Binary logistic regression analysis was conducted to identify associated factors for depression. To indicate the strength of association, odds ratios (OR) and 95% confidence intervals (95% CI) were used. Result A total of 405 participants were enrolled in the study giving an overall response rate of 96%. The respondents had mean age of 54.46 and standard deviation (SD) of 10.01 years. About 273 (67.4%) were females. The prevalence of depression among asthma patients was 85 (21%). The odds of developing depression among single asthma patients were increased by 1.63 with 95% CI [1. 8, 3.493]. Depression among asthma patients who had comorbid cardiac illness was 6.2 times higher than those who do not have at CI [1.145, 24.109]. The prevalence of depression among uncontrolled asthma patients was 8 times higher than those with well-controlled asthma at CI [1.114, 19.025]. Conclusion One-fifth of asthmatic patients were experiencing depression. Uncontrolled asthma, comorbid cardiac illness, and single patients were important predictors of depression among asthmatic patients. Proper control of asthmatic attack and cardiac illnesses is very important to reduce the burden of depression.