Depression is a common mental health problem across all ages. It is a major public health concern in almost every part of the world because of its spread, prevalence and sufferings. This mental health problem can be chronic and recurrent, and may cause significant dysfunction in daily life activities, morbidity, and even mortality. Major depression may also pose serious economic burden on the society through direct and indirect costs on individuals. Although depression is treatable, but it often remains undiagnosed or untreated. According to the World Health Organisation report on India, one out of every seven Indians was depressed in 2011 and one out of every five Indians was depressed in 2015. This shows an alarming increase in the rates of depression within a span of just four years. Yet, as any other mental health problems, depression has long been ignored in the India’s health policy agenda. Studies have shown that depression rate varies by gender and age of individuals. In general, women are at higher risk of depression than men. Among several factors, individual’s health behaviour may also affect the onset and severity of depression both positively through preventive health behaviours (such as regular exercising, nutritional food intake, etc.) and negatively through risky behaviours (such as smoking, alcohol consumption, etc.). However, no empirical study has so far analysed the effect of health behaviour on depression particularly across different demographic groups in India. Therefore, this paper empirically examines the effect of health behaviour (both preventive and risky behaviours) on the prevalence and severity of depression across different age and gender cohorts using data from the World Health Organization’s study on Global Ageing and Adult Health: Wave 1 (2007-2010) for India. The results from the analysis showed that preventive health behaviour reduced depression prevalence and severity among individuals in general. In the sub-samples of females and males, although preventive behaviour reduced depression prevalence in men, but increased depression severity in females. Interestingly, risk behaviour reduced the odds of depression prevalence among females. Preventive health behaviour also decreased depression prevalence among individuals aged 18 to 30 years, 31 to 45 years, and 46 to 60 years, and depression severity among individuals aged 61 years and older. Whereas, risk behaviour reduced the odds of depression severity and prevalence among individuals in 46 to 60 years and 61 years and older age groups, respectively.