Objective The present study aims to (1) investigate the prevalence of positive screening for depression among elderly people applying for admission to public nursing facilities in Shenzhen and (2) to explore the correlation between depression and activities of daily living (ADL) among the elderly. Methods Visual and hearing acuity, ADL (obtained using the Barthel index), cognition and depression levels, and communication and social interaction skills were assessed in all elderly adults aged ≥60 years who applied for admission to public nursing facilities in Shenzhen between April 1, 2018, and December 31, 2019. Results A total of 1,113 elderly adults, 34.95% of whom were assessed as being depressed, were evaluated. Regarding dependence on the care of others, the ADL assessment results showed that 11.86% of the study subjects were fully dependent, 10.51% were severely dependent, 12.58% were moderately dependent, 42.86% were mildly dependent, and only 22.19% were fully capable of self-care. The univariate analysis suggested that gender, cognition level, visual and hearing acuity, and communication and social interaction skills were all correlated with the occurrence of depression. The prevalence of positive screening for depression was relatively high among subjects with an ADL score of ≤65; With an ADL score of ≤65, the prevalence of depression increased by 6% with every 1-point ADL score decrease. Conclusion The prevalence of depression among elderly adults applying for admission to public nursing facilities in Shenzhen was high. For this reason, nursing facility caregivers should focus on screening elderly adults (especially subjects with impaired ADL function) for depression in order to improve their quality of life.