Introduction Depression is a public health concern, nearing 1.5 million cases and accounting for 9.7% of years lost due to disability. Several factors, including altitude, contribute to its development. Altitude has become a topic for recent research, but its association with depressive symptoms has not been fully clarified. Therefore, this study aimed to determine the association between altitude and depressive symptoms in the Peruvian population. Methods A retrospective, cross-sectional study of the 2019 Demographic and Family Health Survey (ENDES in Spanish) was conducted. The dependent variable, depressive symptoms, was measured using the Patient Health Questionnaire (PHQ-9) and the independent variable, altitude, was categorized into: <1500 meters above sea level (masl), 1500–2499 masl and ≥2500 masl. To evaluate the association between altitude and depressive symptoms, we used Poisson regression model, constructing crude and multiple models. Results Of those living at 1500 to 2499 masl and ≥2500 masl, 7.23% and 7.12% had depressive symptoms, respectively. After adjusting for confounding variables, high altitude was found to be associated with depressive symptoms (prevalence ratio adjusted (aPR): 1.38, 95% confidence interval: 1.04–1.84; aPR 1.41, 95% CI: 1.20–1.66). Conclusions A statistically significant association was found between high altitude and depressive symptoms. This may be attributable to hypobaric hypoxia that occurs at high altitudes and its effects on brain function. This study’s findings should be considered to identify the population at risk and expand the coverage of preventive and therapeutic measures in high-altitude areas of Peru with poor access to health services.