The prevalence of depression varies widely across nations, but we do not yet understand what underlies this variation. Here we use estimates from the Global Burden of Disease study to analyze the correlates of depression across 195 countries and territories. We begin by identifying potential cross-correlates of depression using past clinical and cultural psychology literature. We then take a data-driven approach to modeling which factors correlate with depression in zero-order analyses, and in a multiple regression model that controls for covariation between factors. Our findings reveal several potential correlates of depression, including cultural individualism, daylight hours, divorce rate, and GDP per capita. Cultural individualism is the only factor that remains significant across all our models, even when adjusting for spatial autocorrelation, mental healthcare workers per capita, multicollinearity, and outliers. These findings shed light on how depression varies around the world, the sociocultural and environmental factors that underlie this variation, and potential future directions for the study of culture and mental illness.