Tuberculosis (TB) is of grave public health concern globally with a reported 1.3 million deaths approximately, caused by the infection. TB infection is closely associated with depression which at its worst stage can bring up suicidal thoughts and death. This study aimed to assess knowledge, attitude, and factors associated with depression in TB patients attending Directly Observed Treatment Short course (DOTS) centers in Lagos State, South-West Nigeria. A descriptive, cross-sectional approach was used to evaluate responses from 301 TB patients at 8 DOTS centers in Lagos State. Data from the participants (respondents) was collected using interviewer-administered questionnaires. Patient Health Questionnaire-9 (PHQ-9) was used to determine the depression status of the participants. Obtained data was analyzed using SPSS version 23.0, with the Chi-square test being used to check for the association of selected factors with the depression status of the participants. The mean age of the respondents was 35.1±11.7 years. A majority (71.8%) of the respondents were males, 69.1% were Christians, Yorubas were most (52.2%), 88.4% earned <N150,000 monthly, and only 1 participant had no formal education. Knowledge of depression among the participants was average (fair) and the attitude was positive among 41% of them. Factors significantly associated with depression were the presentation of symptoms, drug therapy duration, stigma from family and friends, denial of privileges, HIV status, privacy during treatment, and family support (p<0.05). Factors like the thought that tuberculosis makes one depressed, period of being diagnosed, stage of treatment, distance to the treatment center, attitude of the treatment center staff, and time spent on a treatment day were significantly not associated with depression (p>0.05). Depression can be fatal. Therefore, TB patients receiving treatment should be well-enlightened about this mental disorder.