Abstract: This study aims to estimate the relationship between employment status and depressive symptoms among Mexican adults, as well as to explore its differential effect by gender. Cross-sectional study of 36,516 adults between 20 and 59 years of age taken from the 2012 Mexican National Health and Nutrition Survey. Depressive symptoms were evaluated using the Center for Epidemiologic Studies Depression Scale (CES-D), and the employment status was determined a week before the survey. Logistic regression models were stratified by gender and education level and adjusted by sociodemographic and health-related conditions to estimate the association between depressive symptoms and employment status. The prevalence of clinically depressive symptoms was 7.59% for men and 18.62% for women. In the case of men, those who were unemployed were more likely to present depressive symptoms (OR = 1.66; 95%CI: 1.08-2.55) than those who were working. For women, employment status is not associated with the presence of depressive symptoms, except in students (OR = 1.57; 95%CI: 1.02-2.43) compared with those who were working. In both genders, disability preventing one from working was associated with depressive symptoms. Although being employed has been reported to be associated with lower levels of psychiatric morbidity, the estimated effect is different for men and women. Occupational health policies should consider these conditions.