Introduction Sedentary behavior is a risk factor for depression, yet there is little known about the factors that moderate this relationship. The primary goals of the study were to examine: 1) the association between depression severity and sedentary behavior, weight status, and social integration, and 2) the moderating role of socio-demographic characteristics, and social integration, and perceived social mobility on the association between depression and sedentary behaviors. Methods Three hundred and ninety-seven adults were recruited using multistage sampling methods and consented to complete a one-time interview and measurement of height and weight. The mean age was 43.4 ± 16.9, and 47% were obese. Results Findings suggest that depression was positively associated with sedentary behaviors. Moreover, age and perceived social mobility moderated the relationship between depression and sedentary behavior. Conclusions Our findings suggest that there are sedentary individuals at highest risk for developing depression. Sedentary individuals who were older or reported a lower social status were at highest risk for depression. Identifying these individuals in intervention programs that aim to reduce sedentary behavior and depression may enhance the effectiveness of these programs.