Background: Diet and physical activity are key factors related to depressive mood. Previous studies have demonstrated the effects of diet and physical activity on depression. However, the effect of energy intake-expenditure balance (EIEB) on mental health has not been fully evaluated. This study aimed to analyze the association between EIEB and depression. Methods: A total of 13,460 participants (5,660 men and 7,800 women) aged ≥19 years were obtained from the 2014, 2016, and 2018 Korea National Health and Nutrition Examination Survey (KNHANES). EIEB was defined as the difference between the daily energy intake and energy expenditure. Energy intake was calculated and provided by the KNHANES using a 24-hour recall survey. Energy expenditure was estimated as the sum of basal metabolic rate and physical activity. Logistic regression analyses were used to investigate the association between sex-specific quartile groups (Q1–Q4) of EIEB and depression after adjusting for socioeconomic status, body mass index, lifestyle factors, and underlying diseases. Results: Women in Q3 of EIEB (211–669 kcal) had a significantly lower risk of depression (odd ratio [OR], 0.78; 95% confidence interval [CI], 0.67–0.92) than those in Q1 of EIEB (<-167 kcal). The adjusted ORs of depression were 0.87 (95% CI, 0.75–1.02) in Q2 and 0.86 (95% CI, 0.74–1.01) in Q4, with P for trend=0.030. There were no significant associations between the EIEB quartile groups and depression in men after adjusting for potential confounders (P for trend=0.564). Conclusion Our results suggested that the EIEB is negatively associated with depression in Korean women.