Background: Gender difference regarding the relationship between lifestyle choices and depression is unclear in Korea. This study investigated the relationship between behavioral risk factors and depression by gender in older Korean adults. Methods: The data used in the current study were obtained from 5024 participants aged 60 years and older (56% women) of the sixth and seventh editions of the Korea National Health and Examination Survey (KNHANES). The main outcome was depression, which was assessed using the Patient Health Questionnaire (PHQ)-9. Exposures included smoking, at-risk alcohol consumption, physical inactivity, and inadequate sleep. Body mass index (BMI), household income, educational background, marital status, and number of existing diseases were included as covariates. Results: Depressed persons were older (p = 0.003), had lower income (p 0.001), lower marital status (p = 0.021), lower education (p 0.001), lower smoking (p = 0.003), higher rates of physical inactivity (p = 0.009) and inadequate sleep (p = 0.011), and higher number of existing diseases (p 0.001) compared with not depressed persons. Regression analysis showed that depression was significantly associated with sex (p 0.001), BMI (p 0.001), income (p 0.001), education (p = 0.001), smoking (p = 0.033), physical inactivity (p = 0.021), inadequate sleep (p 0.001), and number of existing diseases (p 0.001). Generalized linear regression analysis showed a significant interaction between gender and number of unhealthy behaviors on the PHQ-9 score (p = 0.004), such that depression risk was significantly associated with clustered unhealthy behaviors in women only. Conclusions: The current findings showed that physical inactivity and inadequate sleep were independent predictors for depression in women, with no such relationship in men.