Several studies have identified a relationship between air pollution and depression, particularly in relation to fine particulate matter (PM2.5) exposure. However, the strength of this association appears to be moderated by variables such as age, gender, genetic vulnerability, physical activity, and climatic conditions, and has not been assessed at a cross-national level to date. Moreover, certain studies in this field have yielded negative results, and there are discrepancies between the results obtained in high-income countries and those from low- and middle-income countries. The current study examines cross-sectional and longitudinal associations between the incidence of depression in each country, based on Global Burden of Disease Study data, and the average national level of PM2.5 based on the World Health Organization’s database, over the past decade (2010–2019). The observed associations were adjusted for age, gender, level of physical activity, income, education, population density, climate, and type of depression. It was observed that while PM2.5 levels showed significant cross-sectional associations with the incidence of depression, longitudinal analyses were not suggestive of a direct causal relationship. These findings are discussed in the light of recent contradictory results in this field, and the need to consider the intermediate roles of a number of individual and environmental factors.