Depression is a highly prevalent and costly contributor to the global burden of disease. Many empirically supported risk (e.g., sedentary behaviour) and protective (e.g., social support) factors associated with depression exist. Investigating the relationship of risk and protective factors with depression using a current, representative sample from the Canadian population provides utility for policy-makers and clinicians to shape messaging surrounding depression and target their future research and treatment effectively. The current investigation involved analysis of participant data (n = 113,290) from the 2017-2018 Canadian Community Health Survey (CCHS). The CCHS makes use of psychometrically validated measures such as the Patient Health Questionnaire (PHQ-9) and the Social Provisions Survey (SPS-10) to assess depression and related factors. Using regression models, sleep, sedentary behaviour, and social support were demonstrated as pertinent risk and protective factors to be considered in future longitudinal research oriented towards depression (p <.001). Being younger, particularly between the ages of 20 and 29, and female emerged as sociodemographic predictors of depression (p <.001). Counterintuitively, physical activity was not a significant predictor of depression severity in the current study. Results of the present research provide valuable insight into the health behaviours of Canadians as they relate to depression. To address the unmet need in terms of mental health services in Canada, the development and dissemination of a self-guided program to treat mild-to-moderate depression may help to reduce the burden on primary care, and the Canadian healthcare system as a whole.