The aim of the study was to investigate rural–urban differences in depressive symptoms in terms of the risk factors among older adults of two regions in Myanmar to provide appropriate intervention for depression depending on local characteristics. This cross-sectional study, conducted between September and December, 2018, used a multistage sampling method to recruit participants from the two regions, for face-to-face interviews. Depressive symptoms were assessed using the 15-item version of the Geriatric Depression Scale (GDS). Depressive symptoms were positively associated with living in rural areas (B = 0.42; 95% confidence interval (CI): 0.12,0.72), female (B = 0.55; 95% CI: 0.31,0.79), illness during the preceding year (B = 0.68; 95% CI: 0.45,0.91) and non-Buddhist religion (B = 0.57; 95% CI: 0.001,1.15) and protectively associated with education to middle school level or higher (B = −0.61; 95% CI: −0.94, −0.28) and the frequency of visits to religious facilities (B = −0.20; 95% CI: −0.30, −0.10). In women in urban areas, depressive symptoms were positively associated with illness during the preceding year (B = 0.78; 95% CI: 0.36, 1.20) and protectively associated with education to middle school level or higher (B = −0.67; 95% CI: −1.23, −0.11), middle or high wealth index (B = −0.92; 95% CI: −1.59, −0.25) and the frequency of visits to religious facilities (B = −0.20; 95% CI: −0.38, −0.03). In men in rural areas, illness during the preceding year was positively associated with depressive symptoms (B = 0.87; 95% CI: 0.33, 1.42). In women in rural areas, depressive symptoms were positively associated with illness during the preceding year (B = 0.83; 95% CI: 0.36, 1.30) and protectively associated with primary education (B = −0.62; 95% CI: −1.12, −0.12) and the frequency of visits to religious facilities (B = −0.44; 95% CI: −0.68, −0.21). Religion and wealth could have different levels of association with depression between older adults in the urban and rural areas and men and women. Interventions for depression in older adults should consider regional and gender differences in the roles of religion and wealth in Myanmar.