After adjusting for confounding factors (for age [35–44, 45.54 and 55–65], BMI, smoking status, education level, marital status, PAL, hs-CRP and dyslipidemia), we found that the odds of severe depression was higher in women in the third (OR: 1.41, 95% CI: 1.06–1.88, p-values = 0.019) and fourth quartiles (OR: 1.37, 95% CI: 1.03–1.83, p-values = 0.032) for DII compared to the first quartile. Here, CRP is linked to major depressive disorder.