Immune thrombocytopenic purpura (ITP) in adults typically develops slowly and insidiously. The ITP medications might be linked to psychological disorders, but the connection is not well-understood. This study aimed to examine the association between ITP medication use and the risk of depression among participants in the National Health and Nutrition Examination Survey (NHANES) from 2005 to 2018. Using data from 70 190 NHANES participants, we conducted a cross-sectional study, excluding individuals under 18 years, with hypertension, HIV, hepatitis C, and various comorbidities. A total of 17 299 individuals were included in the analysis of this study. We identified 2 populations within this study: those using ITP medications, including prednisone, dexamethasone, and rituximab and those not using ITP drugs. Depression status was assessed using the Patient Health Questionnaire-9 (PHQ-9), and the relationship between ITP medication use and depression was analyzed through multivariate logistic regression. There was no significant association between ITP medication use and an increased risk of depression after adjusting for demographic and health-related variables. Notably, among the study participants, 1.8% of the non-depressed population were on ITP medication compared with 0.3% in the depressed population. The analysis revealed varying depression risks associated with different sociodemographic factors. For instance, the correlation between ITP medication and depression risk was influenced by a combination of age, race, income, and smoking status. The study suggests that ITP medication use does not independently increase the risk of depression. This finding is crucial for guiding clinical decisions and managing patient expectations regarding ITP treatment and its psychological impacts.