Aim: To estimate the prevalence and associated factors of self-reported depressive symptoms in undergraduate and graduate dental students. Methods: The Depression, Anxiety and Stress Scale (DASS-21) was applied, and only the depression domain was verified. A structured questionnaire was used to collect sociodemographic, behavioral, and COVID-19 pandemic-related fear variables. Academic performance was assessed based on academic records, ranging from 0 (worst possible grade) to 10 (best possible grade). Respondents included 408 regularly enrolled dental students. Bi- and multivariate analyses were performed using Poisson regression with robust variance to verify the association between at least moderate depressive symptoms and independent variables. Results: The prevalence of at least moderate depression was 40.5% among undergraduate students and 26% among graduate students. The prevalence of fear and anxiety due to the COVID-19 pandemic was 96.1% among undergraduate students and 93.5% among graduate students. In the final multivariate analysis, being female (prevalence ratio [PR]:2.01; 95% confidence interval [95%CI]:1.36–2.96) was associated with a higher PR for depression. Conversely, no exposure to smoking (PR:0.54; 95%CI:0.36–0.82) and a final academic performance average ≥7.0 (PR:0.56; 95%CI:0.41–0.76) was associated with a lower PR for depression. Finally, among graduate students, a non-heterosexual orientation was associated with a higher PR for depression (PR:6.70; 95%CI:2.21–20.29). Conclusion: Higher rates of depression symptoms were observed in female undergraduates, students with lower academic performance and smoking exposure, and graduate dental students with a non-heterosexual orientation.