A growing body of evidence suggests that food insecurity is associated with adverse mental health outcomes such as depression and anxiety. In this study, the relationship between food insecurity and depression was examined using data from the 2005–2016 National Health and Nutrition Examination Survey (NHANES). Food insecurity was assessed with the 18-item United States Food Security Survey Module with zero affirmative responses indicating high food security, 1 or 2 affirmative responses indicating marginal food security, and ≥3 affirmative responses indicating food insecurity. Depression was assessed with the Patient Health Questionnaire-9 with scores ≥10 indicating depression. Data were analyzed from 28,448 adult participants aged 20 or older. Food insecurity was present in 19.2% of the sample population (n = 5452). Food security status was significantly associated with gender, race, education level, marital status, smoking status, and BMI (Rao-Scott chi-square, p < 0.05). Fully food secure and very low food security adults experienced depression at a rate of 5.1% and 25.8%, respectively (Rao-Scott chi-square, p < 0.0001). Participants with very low food security had a significantly greater odds of depression than food secure adults, OR = 3.50 (95% CI: 2.98, 4.12). These findings suggest that food insecurity is a significant risk factors for depression in US adults over 20 years of age. To address this issue in our citizenry, police initiatives and public health interventions addressing both food access and mental health should be prioritized.