BackgroundViolence is a worldwide public health challenge and has been linked to depression in many settings. Depression is higher in women and differential exposure to violence is a potential risk factor – especially in countries with high-levels of violence. This paper provides a comprehensive characterization of the association between violence victimization and depression in Brazil, focusing on sex/gender inequalities.MethodsWe used data from the 2019 wave of the National Health Survey (PNS) in Brazil to assess whether respondents had depression (using PHQ-9) and if they were victims of violence, differentiating by the type of violence, the frequency of victimization, and the primary aggressor. We used logit models to assess the association between victimization and the likelihood of having depression. We predicted probabilities of being depressed, considering the interaction between violence victimization and sex/gender, to analyze the differences between men and women.ResultsRates of violence victimization and depression were higher among women than among men. The odds of being depressed were 3.8 (95%CI: 3.5–4.2) times higher among victims of violence than among non-victims, and 2.3 (95%CI: 2.1–2.6) times higher among women than among men, adjusting for socioeconomic factors. For any given income level, racial/ethnic or age group, victims of violence who were women had the highest predicted probabilities of being depressed – e.g., 29.4% (95%CI: 26.1–32.8) for lower-income women, 28.9% (95%CI: 24.4–33.2) for black women, and 30.4% (95%CI: 25.4–35.4) for younger women that suffered violence. Over one in three women that suffered multiple types of violence, experienced violence more frequently, or where the aggressor was an intimate partner or another family member were predicted to have depression.ConclusionsBeing a victim of violence was strongly associated with higher risk of depression in Brazil, with women more likely to be both victims of violence and develop depression. Frequent, sexual, physical or psychological violence, and intimate partners or family member perpetrators were major risk factors for depression and should be a public health priority.Supplementary InformationThe online version contains supplementary material available at 10.1186/s12939-023-01916-4.