Extensive research has indicated food insecurity to be associated with depressive symptoms, both of which have been indicated to increase globally during the COVID-19 pandemic. Few studies, however, have made use of nationally representative and longitudinal data to investigate this relationship, making causal claims difficult. In South Africa (SA), as with other low- and middle-income contexts, population-based studies have generally focused on mothers during the perinatal period and other vulnerable groups. This study made use of Cross-Lagged Dynamic Panel Models to examine the relationship between household food insecurity and the depressive symptoms of adults across three waves of the National Income Dynamics Survey–Coronavirus Rapid Mobile Survey (NIDS-CRAM) study collected in 2020 and 2021, a dataset nationally representative of all adults in SA in 2017. Stratification of the sample by gender, parenthood and marital statuses allowed for the assessment of gender differences in family roles that might account for differential impacts of food insecurity on mental health outcomes. The findings of this study indicated a significant impact of food insecurity on the depressive symptoms of adults. Controlling for stable trait-like individual differences eliminated much of this relationship, indicating partial or full mediation by unobserved factors. Gender differences in food security's association with depressive symptoms amongst cohabitating parents following the inclusion of individual effects provided support for a gendered role response. These findings provide further evidence of the complex interactions between sex, gender and health.