Background: asthma, a chronic respiratory disease caused by inflammation and narrowing of the small airways in the lungs, is the most common chronic childhood disease. Prevalence of childhood asthma in the United States is 5.8%. In boys, prevalence is 5.7% and it is 6% in girls. Asthma is associated with other comorbidities such as major depressive disorder and anxiety disorder. This study explores the association between asthma and depression. Methods: we conducted a retrospective cross-sectional study using NHANES data from 2013 to 2018. Asthma and childhood onset asthma were assessed using questionnaires MCQ010 and MCQ025, respectively. Sociodemographic variables were summarized, and univariate analysis was performed to determine the association between asthma and major depressive disorder and its individual symptoms. Results: there were 402,167 participants from 2013–2018 in our study: no asthma in 84.70%; asthma in 15.30%. Childhood onset asthma (COA) included 10.51% and adult-onset asthma (AOA) included 4.79%. Median age of COA is 5 years and AOA is 41 years. Among the asthma groups, most AOA were females (67.77%, p < 0.0001), most COA were males (52.16%, p < 0.0001), and ethnicity was predominantly White in AOA (42.39%, p < 0001) and in COA (35.24%, p < 0.0001). AOA mostly had annual household income from $0–24,999 (35.91%, p < 0.0001), while COA mostly had annual household income from $25,000–64,999 (36.66%, p < 0.0001). There was a significantly higher prevalence of MDD in COA (38.90%) and AOA (47.30%) compared to NOA (31.91%). Frequency of symptoms related to MDD were found to have a significantly higher prevalence and severity in the asthma groups compared to no asthma, and slightly greater and more severe in AOA than in COA. Symptoms include having little interest in doing things (COA 18.38% vs. AOA 22.50% vs. NOA 15.44%), feeling down, depressed, or hopeless (COA 20.05% vs. AOA 22.77% vs. NOA 15.85%), having trouble sleeping or sleeping too much (COA 27.38% vs. AOA 23.15% vs. NOA 22.24%), feeling tired or having little energy (COA 39.17% vs. AOA 34.24% vs. NOA 33.97%), having poor appetite or overeating (COA 19.88% vs. AOA 20.02% vs. NOA 15.11%), feeling bad about yourself (COA 13.90% vs. AOA 13.79% vs. NOA 10.78%), having trouble concentrating on things (COA 12.34% vs. AOA 14.41% vs. NOA 10.06%), moving or speaking slowly or too fast (COA 8.59% vs. AOA 9.72% vs. NOA 6.09%), thinking you would be better off dead (COA 3.12% vs. AOA 4.38% vs. NOA 1.95%) and having the difficulties these problems have caused (COA 21.66% vs. AOA 26.73% vs. NOA 19.34%, p < 0.0001). Conclusion: MDD and related symptoms were significantly higher and more severe in participants with asthma compared to no asthma. Between adult-onset asthma compared to childhood onset asthma, adult-onset asthma had slightly greater and more severe MDD and related symptoms compared to childhood onset asthma.