Both iodine concentration and protein intake are important nutritional factors that may influence the development of depressive symptoms. However, there are no studies on the effect of protein intake on the relationship between iodine concentration and the risk of depression. The study aimed to explore the relationship between iodine and the risk of clinically relevant depression (CRD) according to protein intake. This study analyzed the adults (≥18 years) who participated in the 2007–2018 National Health and Nutrition Cross‐sectional Survey (N = 10,462). CRD was assessed using the Patient Health Questionnaire (PHQ‐9). Protein intake was assessed using two 24‐h dietary recalls and urinary iodine concentration (UIC) was measured using inductively coupled plasma dynamic response cell mass spectrometry. Weighted multivariate logistic regression and restrictive cubic splines were performed to assess the relationship between UIC and CRD according to protein category (low protein intake <0.8 g/kg/day; high protein intake: ≥0.8 g/kg/day). After controlling for sociodemographic, behavioral, chronic diseases, and dietary factors, a positive correlation was observed between UIC (log10) and CRD (OR: 1.36, 95% CI: 1.026, 1.795). Low UIC (<100 μg/L) was associated with a lower prevalence of CRD (OR: 0.73, 95% CI: 0.533, 0.995) in high protein intake individuals, whereas this relationship did not exist in those with low protein intake. Moreover, restrictive cubic splines confirmed a near L‐shaped relationship between UIC and CRD in the low‐protein group (nonlinear p = .042) and a linear relationship between them in the high‐protein group (nonlinear p = .392). This study illustrates that protein intake affects the relationship between UIC and CRD. Combining lower UIC and high protein intake may help reduce the prevalence of CRD, which would have significant implications for managing patients with depressive CRD in the clinical setting.