Purpose The association of major depressive disorder (MDD) with higher risk of susceptibility to COVID-19 infection and hospitalization remained inconclusive. The aim of this study was to assess the both hypotheses in the Employees’ Health Cohort Study of Iran (EHCSIR). Methods Among 4886 EHCSIR participants, 3355 subjects who had a complete data on major depressive disorder and two annual telephone follow-ups from January 2020 to March 2022 were recruited in this study. Trained psychologists applied the Persian version of the Composite International Diagnostic Interview (CIDI-2.1) to recognize major depressive disorders at baseline assessment. Log binomial regression models were separately applied to investigate the association between MDD and risk of susceptibility to COVID-19 infection and hospitalization, adjusting for sociodemographic factors and background health conditions. Results The lifetime and twelve-month prevalence of MDD at the baseline of the cohort study were 11.4% and 7.3%, respectively. During the pandemic, 876 (26.1%) of the participants were infected with COVID-19 and 126 of these patients (14.4%) were hospitalized. The risk of susceptibility to COVID-19 infection among study participants who had lifetime MDD was significantly higher than unexposed participants (ARR = 1.24, 95% CI: 1.06–1.47). Among the COVID-19 cases, neither lifetime MDD (ARR = 1.26, 95% CI: 0.71–2.24) nor twelve-month MDD (ARR = 1.02, 95% CI: 0.48–2.15) was independently associated with hospitalization. Conclusion Preexisting major depressive disorder may cause a higher risk of susceptibility to COVID-19 infection, but it is not associated with higher risk of COVID-19 hospitalization.