A multivariable logistic regression model showed that insulin users (adjusted OR = 1.86, 95% CI: 1.02–3.42) had a higher risk of depression, while those with regular physical activity (adjusted OR = 0.48, 95% CI: 0.30–0.77) or greater social support (adjusted OR = 0.20, 95% CI: 0.11–0.34) had a lower risk of depression. This evidence concerns the gene INS and major depressive disorder.