Background The risk of depression has risen in the general population during the COVID-19 epidemic. This study was conducted to explore risk and protective factors associated with depression among the general population uninfected by COVID-19. Methods A cross-sectional study was conducted with 1,500 representative South Korean citizens aged 19–65 years through an anonymous online survey. Depression was defined as a Patient Health Questionnaire-9 score of 10 or higher. Other questionnaires included one measuring psycho-behavioural and social changes, and stress, due to COVID-19, a six-item version of the Gratitude Questionnaire (GQ-6), and a three-item version of the UCLA loneliness scale. Results Of the 1492 participants not infected by COVID-19, 312 (20.9%) exhibited depression. Multiple logistic regression analysis revealed that depression was positively associated with COVID-19-related stress and psycho-behavioural variables such as disturbances in eating and sleeping, younger age, smoking, underlying mental illness, and loneliness scale scores. In contrast, exercise three or more times per week and GQ-6 scale scores were inversely associated with depression. Conclusion During the COVID-19 pandemic, maintaining daily routines including eating, sleeping, and regular exercise and focusing on gratitude may be important for the prevention of depression. In addition, more attention should be paid to vulnerable populations, including young people, those with mental illnesses, and smokers, who might be more susceptible to depression.