Background <p>This study aimed to investigate the association between depressive symptoms and the incidence of thyroid nodules (TNs) in Chinese adults, and explore whether the development, persistence, or recovery from depressive symptoms influences the risk of developing TNs.</p> Methods <p>A total of 1,537 Chinese adults who underwent medical check-ups, including blood tests, Zung Self-Rating Depression Scales (SDS), and thyroid ultrasound examinations, were included. The association between depressive symptoms and TN prevalence was evaluated, and 818 participants free of TNs at baseline were followed over time. TN incidence rates were analyzed across different mental health statuses: depression-free, depression-developed, depression-recovered, and depression-persistent.</p> Results <p>The prevalence of depressive symptoms was 31.95%, significantly higher in women than in men (42.60% vs. 25.82%). The prevalence of TNs was also higher in women (38.68% vs. 21.52%). Among women, participants with depressive symptoms had shorter height, higher levels of fasting plasma glucose (FPG), triglycerides (TG), and glutamyl transpeptidase (GGT), lower high-density lipoprotein cholesterol (HDL-C), and a significantly higher prevalence of TNs (46.44% vs. 32.92%, <i>p</i> &lt; 0.01) compared to those without depressive symptoms. Although the FPG levels in depressive women were significantly higher than in non-depressive women, the levels of FPG in both groups remained within the clinically normal range. These differences were not observed in men. Over a mean follow-up of 2.75 years in women, the depression-persistent group (16.48/100 person-years) had a significantly higher TN incidence compared to the depression-free (6.43/100 person-years; age-adjusted HR: 2.679, 95% CI: 1.513–4.742, <i>p</i> = 0.001).</p> Conclusions <p>Women with persistent depressive symptoms had a higher risk of developing TNs, suggesting that mental health status may influence TN development in women.</p>