As the world’s population becomes more urbanized, there is an associated decrease in nature exposure and a rise in noncommunicable diseases, including depression. Previous cross-sectional studies examining urban nature exposure and depression have reported favorable associations. However, many of these studies rely primarily on nature exposure metrics that measure the intensity of nature exposure, while other dimensions of urban nature exposure remain understudied. Therefore, in a cross-sectional, questionnaire-based case study targeting a general urban population (n = 282), we examined the relationship between two less commonly studied urban nature exposure variables (i.e., gardening behavior and greenspace visit frequency) and depression risk while also considering sociocultural background (multivariate logistic regression model). Results indicated that being a gardener was significantly associated with a reduced odds of being at risk of depression and that having a family migration history, but not a self-migration history, was associated with increased odds of being at risk of depression. In the examination of neighborhood socialization frequency and depression risk, we did not determine any significant association. The results of this study, therefore, highlight the importance of considering both people’s sociocultural backgrounds and urban nature exposure in more detail to help plan for and support healthier cities in the future.