Sleep, fish consumption, and depression have a close relationship; however, the role of sex differences in sleep, fish consumption, and depression research is not yet well-established. This study aimed to examine whether the impact of bedtime, sleep-onset latency, sleep duration, sleep quality, and fish consumption on depressive symptoms differed in women and men. An online survey was conducted in South Korea with a stratified random sample of 600 participants between the ages of 20 and 69, whose gender and age were proportional to estimates of Korea’s general population. The 20-item Center for Epidemiologic Studies Depression Scale was used to measure depressive symptoms with a cut-off score of 16. The Pittsburgh Sleep Quality Index (PSQI) was applied to evaluate sleep timing, sleep-onset latency, sleep duration, and sleep quality. Our results indicated that late bedtime and short sleep duration were independently associated with depressive symptoms in women. Sleep-onset latency and poor sleep quality were independently associated with increased prevalence of depressive symptoms in both men and women. Higher fish consumption was significantly associated with decreased prevalence of depressive symptoms in men only. Our findings suggested the importance of a different approach for men and women in terms of promoting healthy sleep habits. In addition, higher fish consumption may be beneficial in the primary prevention of depression in Korean men. Further research is needed to confirm the findings from this cross-sectional study.