Depression is a leading cause of disability and economic burden worldwide. Primary prevention strategies are urgently needed. We examined the association of diet quality with depression in a large provincial cohort of adults. A past year food frequency questionnaire was completed by Alberta’s Tomorrow Project (ATP) participants enrolled between 2000–2008 (n = 25,016; average age 50.4 years) and used to calculate Healthy Eating Index-Canada (HEI-C) 2015 scores. The number of physician visits for depression 2000–2015 was obtained via linkage with administrative health records. Negative binomial regression models assessed the relationship between HEI-C 2015 scores and physician visits for depression, adjusting for confounders. Every 10-unit increase in HEI-C 2015 scores was associated with 4.7% fewer physician visits for depression (rate ratio (RR): 0.95; 95% Confidence Interval (CI): 0.92–0.98). This relationship persisted when participants with physician visits for mental illness prior to cohort enrollment were excluded. Higher quality diets were associated with a lower number of physician visits for depression. Results highlight diet may be an important prevention strategy for reducing the burden of health service utilization for depression.