Consensus has been reached that symptoms of depression can begin as early as preschool. Nevertheless, only few studies have associated environmental (malnutrition) and social factors (poverty condition, access to health systems, etc.) to the onset of depression in preschoolers. The aim of this study was to explore possible associations between malnutrition (underweight, overweight/obesity), poverty status (home quality, overcrowding), access to healthcare systems and the presence of depressive symptoms in the preschoolers of a semi-rural community. In total, 695 children between 3 and 6 years from the municipality of Chiconcuac, Mexico were evaluated for symptoms of depression with the Preschool Depression Scale for Teachers (ESDM 3-6). Additionally, they were assessed for nutritional status and divided into three groups (low weight, normal weight, overweight/obesity), and their parents were asked to fill out a social demographic questionnaire. Malnutrition status OR = 2.702, 95% CI [1.771–4.145]; UW OR = 4.768, 95% CI [2.570–8.795] and OW/OB OR = 1.959, 95% CI [1.175–3.324]; poverty condition per se OR = 1.779, 95% CI [0.9911–2.630]; housing quality OR = 2.020, 95% CI [0.9606–2.659] and overcrowding = 1.619, 95% CI [0.8989–4.433] were associated to a greater risk for children to show depressive symptoms (DS). Access to healthcare was negatively related with the risk of presenting DS (OR = 0.660, 95% CI [0.3130 to 1.360]). Social and environmental factors such as malnutrition, home quality and overcrowding may increase the risk of presenting DS as soon as in preschool.