Abstract Background Depression acts as a noteworthy worldwide public health challenge. Identifying accessible biomarkers is crucial for early diagnosis and intervention. The relationship between depression in adult Americans and the neutrophil to high-density lipoprotein cholesterol ratio (NHR) was investigated in this research. Methods The relationship between NHR and depressive symptoms was analyzed utilizing National Health and Nutrition Examination Survey data from 2005 to 2018 and the Patient Health Questionnaire-9. The study included 33,871 participants with complete NHR and depression data. Adjusted multivariable logistic regression models were used to account for possible confounders, and subgroup analyses were conducted to investigate effect changes. Results Elevated NHR levels were positively correlated with a heightened risk of depression (OR = 1.03, 95% CI: 1.01–1.05, P < 0.0005). After the NHR was divided into tertiles, those in the top tertile had an 18% higher chance of developing depression than those in the bottom tertile (OR = 1.18; 95% CI: 1.05–1.32; P for trend = 0.0041). Subgroup analyses revealed variations in this association based on race and marital status. Additionally, the relationship between NHR and depression demonstrated a U-shaped pattern, with a significant breakpoint identified at an NHR of 6.97. Conclusion These results imply that the NHR may be a potential biomarker for depression risk, with implications for early detection and personalized treatment. Further research is needed to elucidate the mechanisms underlying the NHR-depression link and establish causality.