Several studies have identified a relationship between air pollution and depression, particularly in relation to fine particulate matter (PM2.5) exposure. However, the strength of this association appears to be moderated by variables such as age, gender, genetic vulnerability, physical activity and climatic conditions, and has not been assessed at a cross-national level to date. The current study examines the association between the prevalence of depression in each country, based on the most recent Global Burden of Disease Study data, and the average national level of PM2.5 based on the World Health Organization’s database. The observed associations were adjusted for age, gender, level of physical activity, income, education, population density, climate, and type of depression. It was observed that there was a modest but significant positive correlation between PM2.5 level and the prevalence of depression even after adjusting for the above confounders. This association was more marked above a certain threshold and applied chiefly to major depressive episodes. These findings are of significant public health importance in terms of preventive strategies aimed at reducing the population-level burden of depression.