To explore whether non-high-density-lipoprotein cholesterol (non-HDL-c) is associated with depression, a total of 26 819 Canadians aged 45–85 from the Canadian Longitudinal Study on Aging (CLSA) were included in analysis. Non-HDL-c, the difference between total-c and HDL-c, was categorized into five levels, i.e., <2.6, 2.6 to <3.7, 3.7 to <4.8, 4.8 to 5.7, and ≥5.7 mmol/L. History of clinical depression was collected by questionnaire at an in-home interview, and current potential depression status was determined by CES-D10 (Center for Epidemiological Studies Depression Scale 10 questions version) score, i.e., ≥10 vs. <10. Logistic continuation ratio model for ordinal data was used to estimate the odds of being at or above a higher non-HDL-c category for depression status. Compared with those without clinical depression history and currently undepressed, the adjusted odds ratios (95% CI) were 1.09 (1.02, 1.17) for those without clinical depression history but currently depressed, 1.05 (0.98, 1.12) for those had clinical depression history but currently undepressed, and 1.21 (1.10, 1.32) for those had clinical depression history and currently depressed. The average of non-HDL-c for four depression groups were 3.64, 3.71, 3.69, and 3.82 mmol/L, respectively, and group 4 was statistically higher than others ( p < 0.001). In conclusion, people with both current depression and a history clinical depression are at an increased risk of having high level of non-HDL-c.