Although there is evidence that vitamin D deficiency may play a role in depression, studies done on the associations have yielded mixed results. The present study aimed to examine the associations between serum concentrations of 25-hydroxyvitamin D (25(OH)D) and parathyroid hormone (PTH) and the presence of depression among US adults. A cross-sectional, population-based sample (including 3916 participants aged ≥ 20 years) from the 2005–6 National Health and Nutrition Examination Survey was used. Participants' depressive symptoms were assessed using the Patient Health Questionnaire-9 diagnostic algorithm. The associations of 25(OH)D and PTH with depression were explored using multivariate logistic regression models. For all the participants, the age-adjusted prevalence was 5·3  (95 % CI 4·3, 6·5) % for having moderate-to-severe depression, 2·3  (95 % CI 1·7, 3·1) % for having major depression and 3·8  (95 % CI 3·0, 4·6) % for having minor depression. Although the age-adjusted prevalence and the unadjusted OR of having moderate-to-severe depression or major depression decreased linearly with increasing quartiles of 25(OH)D (P < 0·05 for trends), no significant associations remained after adjusting for multiple potential confounders such as demographic variables, lifestyle factors and coexistence of a number of chronic conditions. Neither the age-adjusted prevalence nor the OR (unadjusted or adjusted) of having depression differed significantly by the quartiles of PTH. Thus, in contrast to some of the previous findings, the present results did not show significant associations between serum concentrations of 25(OH)D and PTH and the presence of moderate-to-severe depression, major depression or minor depression among US adults. However, these findings need to be further confirmed in future studies.