Purpose: Macau is a Special Administrative Region in China that has experienced tremendous development in its gambling industry during its post-colonial years. To inform mental health planning, this study presents the first population estimates and correlates of the current depression in Macau. Methods: A population-representative sample of 1068 Macau Chinese citizens aged 18 or above responded to a household telephone survey in January, 2015. The Patient Health Questionnaire-9 measured the current depression. Logistic regression models assessed the association between depression and potential correlates. Results: Overall, 8.0% (95% CI 6.3–9.7) of persons reported the current depression. A higher but non-significant proportion of women reported depression than men (9.3 vs. 6.6%) and older women reported higher prevalence (13.4%) than other demographic groups. Persons who were unemployed (OR = 4.9, 2.3–10.5), separated or divorced (OR = 3.1, 1.1–8.9), and reported poor self-rated health (OR = 5.0, 2.8–9.0), low quality of life (OR = 6.2, 3.1–12.7), lower social standing (OR = 2.4, 1.4–4.0), lower community trust (OR = 1.9, 1.2–3.1), lower perceived fairness (OR = 2.3, 1.4–3.8), lower social cohesion (OR = 3.8, 2.3–6.2), and lower social integration (OR = 3.0, 1.9–5.0) had greater odds of depression than their comparison group. Conclusions: The current study demonstrated the burden of depression among Macau adults disproportionately affects women during emerging adolescence and old age, and men during middle adulthood. Key strategies to improve mental health services in Macau are discussed.