Depression is a common mental illness with a high prevalence rate and is a significant contributor to the global burden of diseases. Various factors are associated with depression, and its etiology is complex. Instead of focusing on single-factor effects, this study aimed to explore a combination of high-risk factor sets for depression among adult community residents. We conducted a cross-sectional survey in Shenzhen, China, from January 2021 to March 2021. A simple sampling method was used to enroll participants. A total of 1,965 adult residents completed the survey and were assessed using the Patient Health Questionnaire-9 (PHQ-9), the Eysenck Personality Questionnaire-Revised Short Scale for Chinese (EPQ-RSC), and the Psychosocial Stress Survey for Groups (PSSG). The fuzzy-set qualitative comparative analysis method was used to explore the high-risk factor sets for depression among adult community residents. The prevalence of depression among the surveyed adult residents in Shenzhen was 6.36%. The mean scores of PHQ-9 were higher among women and unmarried residents. The combination of low extroversion (e) and high neuroticism (N) in personality traits, along with high scores for life events (V), negative emotional responses to events (G), positive emotional responses to events (O), and positive coping styles to events (I) (denoted as e*N*V*G*O*I) constituted a high-risk factor set for depression. The overall consistency was 0.843, and the overall coverage was 0.330. Our study suggested that stressful life events together with personality traits including neuroticism and introversion serve as crucial factors for depression among adult community residents, regardless of the coping strategies they adopt. This study provides data for developing comprehensive interventions such as regulating neuroticism and introversion levels and reducing stressors to prevent the occurrence of depression among adult community residents.