It is unclear whether depression is linked to nonalcoholic fatty liver disease (NAFLD). The purpose of this study was to examine the association between depression and NAFLD and whether the association is partly explained by insulin resistance or inflammation. Subjects consisted of 4,688 adults who participated in the 2016 Korea National Health and Nutrition Examination Survey. Depression was defined by Patient Health Questionnaire-9 score ≥ 10 or a previous diagnosis of depression. NAFLD was defined by hepatic steatosis index >36. Insulin resistance was assessed by triglycerides and glucose (TyG) index. Inflammation was measured with C-reactive protein (CRP). Depression had a significant association with TyG index (p = 0.005), but not with CRP. Depression was a significant predictor of NAFLD (OR = 1.63; 95% CI, 1.26-2.10; p < 0.001). Adjustment for sociodemographic features and waist circumference did not substantially affect the results. Further adjustment for comorbidities reduced the estimate for depression by 23% (OR = 1.56; 95% CI, 1.18-2.06; p = 0.002). Inclusion of CRP in a fully adjusted model did not affect the results. Addition of the TyG index decreased the estimate for depression by 28% (OR = 1.39; 95% CI, 0.88-2.19; p = 0.161), and the resulting estimate became no longer significant. The TyG index remained the independent predictor of outcome. The absence of a structured diagnostic interview for depression and histological diagnosis of NAFLD. These data support an association of depression with NAFLD. Insulin resistance seems to play a major role in modulating the association between depression and NAFLD risk.