Creatine monohydrate is actively being researched for its antidepressant effects, yet little is known about the link between dietary creatine and depression risk. This study examines the association between dietary creatine and depression in U.S. adults, using data from the 2005 to 2012 National Health and Nutrition Examination Survey (NHANES). Patient health questionnaire, dietary creatine intake and covariates were obtained on 22,692 NHANES participants ≥20 years of age. Depression prevalence was calculated within quartiles of dietary creatine intake. Adjusted logistic regression models were formulated to determine the relationship between dietary creatine intake and depression risk. Additional covariates included income to poverty ratio, race/ethnicity, sex, age, education level, body mass index, healthcare access, smoking status, physical activity, and antidepressant/anxiolytic medication use. Models were further stratified by sex, age group, and antidepressant/anxiolytic medication use. Depression prevalence was 10.23/100 persons (95% CI: 8.64–11.83) among NHANES participants in the lowest quartile of dietary creatine intake compared with 5.98/100 persons (95% CI: 4.97–6.98) among participants in the highest quartile (p < 0.001). An inverse association was measured between dietary creatine and depression (adjusted odds ratio (AOR) = 0.68, 95% CI: 0.52–0.88). Dietary creatine’s negative association with depression was strongest in females (AOR = 0.62, 95% CI: 0.40–0.98), participants aged 20–39 years (AOR = 0.52, 95% CI: 0.34–0.79) and participants not taking antidepressant/anxiolytic medication (AOR = 0.58, 95% CI: 0.43–0.77). Study results indicate a significant negative relationship between dietary creatine and depression in a nationally representative adult cohort. Further research is warranted to investigate the role creatine plays in depression, particularly among women and across the lifespan.