Background: Depression is a chronic disorder, which often remains undiagnosed. There is a gross lack of evidence-based information about depressive illnesses among adult individuals from rural Bangladesh. Objective: The present study aimed to determine the factors that are associated with depressive illness but remain undiagnosed among rural healthy adult individuals. Methodology: A cross-sectional study was conducted in the Demographic Surveillance System area of rural Mirzapur sub-district, during April to September 2010. A total of 130 apparently healthy individuals [no history of hypertension, cardiovascular diseases, hepatic (serum alanine transaminase; ALT) or renal (serum creatinine) dysfunction; diabetic mellitus (fasting blood sugar)] aged 40 years and above were randomly selected from the DSS database. Level of depression was assessed using 30-item Geriatric Depression Scale. Results: Forty-two percent of the healthy participants were found to have mild depression, 17% were severely depressed. In multivariate analysis, females had a 2.79 [95% CI-0.94-8.26] times higher risk for depression compared to males. Healthy elderly individuals (≥60 years) had a 2.79 [0.94-8.33] times higher risk for depression compared to their middle-aged counterparts (40-59 years). Furthermore, individuals who consumed a vegetable-based diet were at 2.47 [0.85-7.15] times higher risk for depression; individuals with low monthly income were at 2.57 [0.94-7.01] times higher, and those with poor wealth index were 1.55 [1.07-2.25] times more likely to suffer from depression compared to their counterparts after adjusting for vitamin B12, folic acid, ALT, and blood hemoglobin. Conclusion: Healthy elderly individuals from rural Bangladesh were more depressed than middle-aged adults; and females with poor socio-economic status were at higher risk for depression than males.