Background: Major Depressive Disorder is a leading cause of disability worldwide and one of the most common disorders in the United States. Contributors to an individual’s risk for experiencing depressive disorders include individual and social factors. Although the social determinants of health (SDOH) are conditions that contribute to healthy functioning, health outcomes, and quality of life, it is unclear to what extent adverse SDOH experiences are associated with self-reporting depressive disorder (DD). Methods: Data from the 2017 Behavioral Risk Factor Surveillance System (BRFSS), a population-based telephone survey of noninstitutionalized U.S. adults, was employed in this study. Lifetime diagnosis of DD was self-reported among survey participants who also completed the Social Determinants of Health optional module within 17 participating BRFSS states and entities. Rao-Scott chi-square analysis was used to determine the association of individual and SDOH measures with DD. Results: The prevalence of DD among participating states was 19.85%. Among respondents, significant proportional differences were observed for each SDOH indicator regarding DD status. However, significant differences in health insurance coverage were not observed. Conclusion: Survey respondents with a lifetime diagnosis of DD experienced adverse SDOH conditions in greater proportion than individuals not reporting DD. Individual and community-based approaches to address the contextual influences of depressive disorders should be aggressively implemented.