We investigated the association between perceived occupational noise exposure and depressive symptoms in young Finnish adults and whether noise sensitivity moderates this association. This study was based on an ongoing longitudinal twin study. We included those who had been working daily (n = 521) or weekly (n = 245) during the past 12 months (mean age 22.4, SD 0.7, 53% female). We asked about occupational noise exposure at age 22 and assessed depressive symptoms using the General Behavior Inventory (GBI) at age 17 and 22. Noise sensitivity and covariates were used in linear regression models. Perceived daily occupational noise exposure was associated, as a statistically independent main effect with depressive symptoms at age 22 (beta 1.19; 95% CI 0.09, 2.29) among all, and separately for females (beta 2.22; 95% CI 0.34, 4.09) but not males (beta 0.22; 95% CI −1.08, 1.52). Noise sensitivity was independently associated with depressive symptoms among all (beta 1.35; 95% CI 0.54, 2.17), and separately for males (beta 1.96; 95% CI 0.68, 3.24) but not females (beta 1.05; 95 % CI −0.04, 2.13). Noise sensitivity was independent of perceived occupational noise exposure. Pre-existing depressive symptoms at age 17 were predictive of perceived occupational noise exposure, suggesting complex interactions of noise and depression.