Alexithymia is a condition in which a person is unable to explain his/her emotions, bodily sensations, or discuss sentiments. This study aims to determine the prevalence of alexithymia and its relationships with socio-demographics and depression among medical students. A cross-sectional survey was conducted among medical students at King Khalid University (KKU), Saudi Arabia. A stratified random sampling technique was utilized for data collection using the Toronto Alexithymia Scale (TAS-20) and the Patient Health Questionnaire-9 (PHQ-9). A multiple logistic regression model was used to identify the factors associated with alexithymia. A total of 333 students participated in this study, almost two-thirds (64.6%) were from clinical years, and 51.4% were females. The prevalence of alexithymia and depression was 47.4% and 88.9%, respectively. Regression analysis showed females had a doubled risk (OR = 2.09), and students with high-income status showed less probability of having alexithymia (OR = 0.39), whereas people with chronic health problems showed a doubled risk for alexithymia (OR = 2.04). Moreover, depression was significantly associated with alexithymia (OR = 1.91). Our study revealed that the prevalence of alexithymia was high along with depression among studied samples. This raises attention towards finding measures to reduce it for the better performance of students and to avoid psychological problems in the future.