Depression is the most common mental illnesses worldwide. The consumption of ultra-processed food (UPF) has increased globally due to its affordability and convenience; however, only a few studies have investigated the link between UPF intake and depression in the general population. We investigated the associations between UPF and depression using the Korea National Health and Nutrition Examination Survey. A total of 9463 individuals (4200 males and 5263 females) aged above 19 years old participated in this study. The prevalence of depression was identified using the Patient Health Questionnaire-9. Dietary intake was assessed through a 24-h recall interview. The percentage of energy from UPFs was ascertained based on the NOVA classification. The associations between the quartile ranges of UPF intake and depression were estimated using logistic regression models. Individuals in the highest quartile had a 1.40 times higher likelihood of having depression, with marginal significance (95% confidence intervals (CIs) = 1.00–1.96). In a sex-specific stratification, only females demonstrated a significant association (odds ratio (OR) = 1.51, 95% CI 1.04–2.21), even after adjusting for confounders (p-value for trend = 0.023). Our findings revealed a significant association between higher UPF intake and depression among females but not among males in the Korean general population.