The aim of this study was to investigate the social determinants of depression in a large population-based survey in six of 11 provinces in South Africa. In a cross-sectional Community-level Social Dynamics Survey (CLSD) 4052 adults (median age 35 years, IQR = 20, age range of 18–100 years) in South Africa responded to a questionnaire. Depression was assessed with the Patient Health Questionnaire (PHQ-9). Results indicate that 35.0% of participants had no depression, 47.3% minimal or mild depression and 17.7% moderate to severe depression. In adjusted logistic regression analysis, low economic status (low income, lack of basic amenities, residing in informal settlements or traditional dwellings, and sharing their household in a dwelling), high religious attendance or social capital and high adverse life events (discriminatory experiences and perceived community violence) were associated with depression. Further, older age, being female and having been parented in their childhood by non-biological parents were associated with depression. In conclusion, the study showed various social determinants of depression, which should be included in strategies combatting depression in South Africa.