Background Depression is a complex mental disorder that affects an increasing proportion of the worldwide population. This study aims to estimate the prevalence of depressive symptoms in Luxembourg, associated risk factors and geographic variations. Additionally, it aims to assess whether first and second generation immigrants are at higher risk for depressive symptoms compared to non-immigrants. Methods Representative cross-sectional data from 1499 residents of Luxembourg, aged 25–64 years, were collected from the Luxembourg European Health Survey (EHES-LUX). Depressive symptoms were defined as a score of ≥5 on the Patient Health Questionnaire for depression (PHQ-9) (i.e. mild, moderate or severe). Standard and Bayesian regression models were used to examine associations between depressive symptoms, immigration status and geographic distribution across Luxembourg. Results The prevalence of depressive symptoms was 21.55% (15.54% mild, 3.54% moderate, and 2.49% moderately severe to severe). The odds of having depressive symptoms was higher among second generation immigrants compared to non-immigrants (OR: 1.58, 95% CI: 1.04, 2.41), independent of socioeconomic and behavioral characteristics. Healthier diet, higher social support and good health perception were protective towards experiencing depressive symptoms. One of the highest likelihoods of reporting depressive symptoms was observed in the South-West of the country with a positive effect at 80% credible region [CR] (1.42 [0.92, 2.73]). Limitations The participation rate was low (26.7%). The cross-sectional nature of the study does not allow us to establish causality. Conclusions Depression constitutes an important public health challenge in Luxembourg due to the impact on the overall health of the population. Social programs of health promotion should be developed to improve mental wellbeing in immigrants, especially those of second generation.