Depression is a widespread condition, which increased during the COVID-19 pandemic among healthcare workers as well. The large workload of the pandemic response also affected Public Health Residents (PHRs) who played an important role in infection prevention and control activities. This work aims to assess depression in Italian PHRs, based on data collected through the PHRASI (Public Health Residents’ Anonymous Survey in Italy) study. In 2022, 379 PHRs completed the self-administered questionnaire containing Patient Health Questionnaire-9 to evaluate clinically relevant depressive symptoms (PHQ-9 ≥ 10). Multivariate logistic regression shows that the intention (aOR = 3.925, 95% CI = (2.067–7.452)) and the uncertainty (aOR = 4.949, 95% CI = (1.872–13.086)) of repeating the test to enter another postgraduate school/general practitioner course and the simultaneous attendance of two traineeships (aOR = 1.832, 95% CI = (1.010–3.324)) are positively related with depressive symptoms. Conversely, the willingness to work in the current traineeship place (aOR = 0.456, 95% CI = (0.283–0.734)) emerged as a protective factor. Similar results were obtained considering mild-to-severe (PHQ-9 ≥ 5) depressive symptoms and/or stratifying by sex. The findings, suggesting the protective role of job satisfaction toward depression, might entail future interventions to improve the learning experience and promote work-life balance.