This study evaluated the association between nutritional status, depressive symptoms, and the number of prescription drugs taken by older adults living in nursing homes in Mexico City. In a cross-sectional study, 262 participants were subjected to anthropometric and nutritional (Mini Nutritional Assessment (MNA)) evaluations; additionally, their depression (Geriatric Depression Scale (GDS)) and functional status were assessed. Multiple logistic regression was used for identifying factors associated with the risk of malnutrition/malnourishment. The mean age of participants was 83.1 ± 8.6 years. A total of 59.9% and 21.1% were at risk of malnutrition and malnourished, respectively. With respect to depression, 27.9% of the participants had mild depression, while 11.4% showed severe depression. An inverse correlation between MNA evaluations and depression scores was found (Spearman’s ρ = −0.4624, p < 0.001); residents with a better nutritional status had lower depression scores. Individuals with depressive symptoms were approximately five times more likely to be at risk of malnutrition or malnourished (OR = 5.82, 95% CI = 2.27–14.89) than individuals without depression. Residents taking three or more prescription drugs daily (OR = 1.83, 95% CI = 1.27–2.63, p < 0.001) were more likely to be at risk of malnutrition or malnourished. In summary, poor nutritional status was associated with depression, while the intake of numerous prescription drugs was associated with being at risk of malnutrition or malnourished.