Using baseline data from three partnering federally qualified health centers, we examined factors associated with depressive symptoms among Mexican-origin adults at risk of chronic disease living in three counties in Southern Arizona (i.e., Pima, Yuma, and Santa Cruz). Multivariable linear regression models identified correlates of depressive symptoms for this population controlling for sociodemographic characteristics. Among 206 participants, 85.9% were female and 49% were between 45 and 64 years of age. The proportion of depressive symptoms was 26.8%. Low levels of physical pain and high levels of hope and social support were also reported. Physical pain was positively and significantly related to depressive symptoms (β = 0.22; 95% CI = 0.13, 0.30). Conversely, hope was negatively and significantly associated with depressive symptoms (β = −0.53; 95% CI = −0.78, −0.29). A better understanding of factors related to depressive symptoms among Mexican-origin adults is necessary to fulfill their mental health needs, as well as to achieve health equity and to eliminate health disparities in the US–Mexico border region.