Background and Objective: Psychological disorders are one of the major health problems worldwide, not being determined solely by intrinsic factors. Our aim was to evaluate how the different types of food consumption, are associated with the presence of symptoms of depression during the COVID-19 pandemic, in Brazilian adults. Methods: Cross-sectional study from a population-based survey, with face-to-face interviews, in Ouro Preto and Mariana, based on stratified and conglomerate sampling in three stages. Food consumption was assessed by a food frequency questionnaire and categorized by NOVA in fresh/minimally processed (FMP) foods, and ultra-processed foods (UPF), by the weekly consumption. Thus, four types of food consumption were evaluated: i) Low consumption of UPF and FMP (used as reference); ii) High consumption of UPF and FMP; iii) High consumption of UPF and low consumption of FMP; iv) Low consumption of UPF and high consumption of FMP. The presence of depression symptoms was measured by the patient health questionnaire-9 scale, validated, and categorized into absence or presence of depression symptoms. We used prevalence ratio (PR) and 95% confidence interval (95%CI) by Poisson regression to verify the association tested, adjusted by gender, age, medical diagnosis of anxiety disorder or depression, family income and marital status, selected by a directed acyclic graph. Results: Among the participants, 51.1% were female and aged between 35 to 59 years (45.9%). About 15.6% presented symptoms of depression. From the four types of food consumption, it was observed the high consumption of both categories, was associated with a higher PR for the occurrence of symptoms of depression (PR: 2.53; 95% CI: 1.63 - 3.92). Conclusions: The consumption of ultra-processed foods represents an important part of the world food supply. There is a need for the reformulation of public policies that consider the processing extent and purpose on human health.