BACKGROUND: Reports suggest low levels of cholesterol are associated with depression. However, results have not been replicated, the direction of the associations among types of cholesterol levels is not consistent, there is large study heterogeneity, and many studies have small samples. OBJECTIVE: The objective of the study was to assess the association of cholesterol with depression. METHODS: This is a cross-sectional study using the National Health and Nutrition Examination Survey (NHANES). The NHANES is a research program that collects health information from a representative U.S. sample. We included subjects aged $18 years who responded to NHANES surveys from 2009 to 2015. Subjects were classified as having major depression if the Patient Health Questionnaire scores were $10. Exposures were total cholesterol, high-density lipoprotein cholesterol, low-density lipoprotein cholesterol, and triglyceride levels. We considered the age, body mass index, gender, smoking, alcohol use, health status, and exposure to statins and antipsychotics as potential confounders. To assess the association of the exposures with depression, we used decision tree and logistic regression models. RESULTS: A total of 19,527 subjects were analyzed, and 8% had depression. Subjects with depression were more likely to be women and smokers, and to have higher body mass index, poor health, higher levels of total cholesterol and triglycerides and lower levels of high-density lipoprotein cholesterol than subjects with no depression. After adjustment, low levels of total cholesterol (,129 mg/dL) were associated with decreased risk of depression compared with higher levels, OR 5 0.64 and 95% CI (0.42-0.98). CONCLUSION: This large population-based study found no association of low cholesterol or any other lower type of cholesterol levels with increased risk of depression. These findings are generalizable to the U.S. population.