<p>Depression is an important public health problem and its association with mortality has been studied extensively. However, the relationship between different levels of depression and death in adults is not well understood. This study aimed to explore the association between depression scores and all-cause mortality in US adults. We conducted a retrospective cohort study using data from 2005 to 2018 National Health and Nutrition Examination Survey (NHANES). Depression was assessed using the Patient Health Questionnaire-9 (PHQ-9), and all-cause mortality was the primary outcome. Cox proportional hazards models were used to examine the association between depression scores and mortality. A two-piece wise linear regression model was used to examine the threshold effect. A total of 36,393 participants with a mean age of 47.9 years (SD = 18.8) were included. The median follow-up time was 89 months, during which time 3,644 (10.01%) deaths occurred. When the depression score was below 7, each unit increase in the score was associated with a 6% increased in the risk of all-cause mortality (HR = 1.06, 95% CI: 1.05–1.08, <i>P</i> &lt; 0.0001). The results of this study show a non-linear association between depression scores and all-cause mortality among adults in the United States. Increased depression scores were associated with increased mortality. However, these findings need to be further validated by further research.</p>