The gut microbiome is thought to play a role in depressive disorders, which makes it an attractive target for interventions. Both the microbiome and depressive symptom levels vary substantially across ethnic groups. Thus, any intervention for depression targeting the microbiome requires understanding of microbiome-depression associations across ethnicities. Analysing data from the HELIUS cohort, we characterize the gut microbiota and its associations with depressive symptoms in 6 ethnic groups (Dutch, South-Asian Surinamese, African Surinamese, Ghanaian, Turkish, Moroccan; N = 3211), living in the same urban area. Diversity of the gut microbiota, both within (α-diversity) and between individuals (β-diversity), predicts depressive symptom levels, taking into account demographic, behavioural, and medical differences. These associations do not differ between ethnic groups. Further, β-diversity explains 29%–18% of the ethnic differences in depressive symptoms. Bacterial genera associated with depressive symptoms belong to mulitple families, prominently including the families Christensenellaceae, Lachnospiraceae, and Ruminococcaceae. In summary, the results show that the gut microbiota are linked to depressive symptom levels and that this association generalizes across ethnic groups. Moreover, the results suggest that ethnic differences in the gut microbiota may partly explain parallel disparities in depression.