Introduction Diabetic retinopathy (DR) is a vision-threatening complication of diabetes mellitus (DM). The relationship between depression and DR is unclear, and prior studies are limited by small sample sizes at single centers. This retrospective, cross-sectional study assessed the prevalence of and associations between depression and DR in the US using the National Health and Nutrition Examination Survey for 2011 to 2018. Methods We collected information on the demographic characteristics, medical conditions, and examination data of NHANES participants with DM. We performed weighted analysis to estimate national prevalence and multivariate analysis to assess the relationship between depression and DR. Results Of the 22,618 participants included, the prevalence of DM and DR were 3146 (13.9%) and 664 (2.9%). The prevalence of depression was 14.2% in DM only and 19.3% in DR (P = 0.006) with greater severity in the DR group (P < 0.001). After adjusting for comorbidities, DR was no longer significantly associated with depression. Depression was not associated with differences in disease management, although participants with depression had poorer self-perceived health status (P < 0.001). Conclusions Depression is more prevalent in individuals with DR than those with DM only. The relationship between depression and DR may be mediated by additional medical comorbidities, but further studies are needed.