Background: asthma, a chronic respiratory disease caused by inflammation and narrowing of the small airways in the lungs, is the most common chronic childhood disease. Prevalence of childhood asthma in the United States is 5.8%. In boys, prevalence is 5.7% and it is 6% in girls. Asthma is associated with other comorbidities such as major depressive disorder and anxiety disorder. This study explores the association between asthma and depression. Methods: we conducted a retrospective cross-sectional study using NHANES data from 2013 to 2018. Asthma and childhood onset asthma were assessed using questionnaires MCQ010 and MCQ025, respectively. Sociodemographic variables were summarized, and univariate analysis was performed to determine the association between asthma and major depressive disorder and its individual symptoms. Results: there were 402,167 participants from 2013–2018 in our study: no asthma in 84.70%; asthma in 15.30%. Childhood onset asthma (COA) included 10.51% and adult-onset asthma (AOA) included 4.79%. Median age of COA is 5 years and AOA is 41 years. Among the asthma groups, most AOA were females (67.77%, p p p p p p p < 0.0001). Conclusion: MDD and related symptoms were significantly higher and more severe in participants with asthma compared to no asthma. Between adult-onset asthma compared to childhood onset asthma, adult-onset asthma had slightly greater and more severe MDD and related symptoms compared to childhood onset asthma.