Background: This study aimed to examine the prevalence and factors associated with symptoms of depression during the third wave of the COVID-19 pandemic. Methods: A representative sample of Portuguese adults was included in this populational survey, conducted between 25 March and 31 July 2021, with participants completing a structured questionnaire via phone interview. The symptoms of depression were measured using the Portuguese version of the Hospital Anxiety and Depression Scale (HADS). Multivariate logistic regression analyses were used to examine the association between sociodemographic, health, and lifestyle factors and depression levels (normal, mild, or moderate/severe). Results: The estimated prevalence of depression symptoms among participants was 24%. Participants who were women, were in older age groups, had multimorbidity, lived in isolated Portuguese regions such as islands and Alentejo, and were retired or unemployed more frequently reported depression symptoms. Economic hardship was also found to be associated with an increased frequency of mild or moderate-to-severe depression. In contrast, higher levels of education, regular alcohol intake, and regular exercise were associated with a lower frequency of depression symptoms. Conclusions: These findings highlight that during the third wave of the COVID-19 pandemic, a high proportion of Portuguese adults reported depression symptoms, particularly the COVID-19-vulnerable strata such seniors, patients with multimorbidity, and people in economic hardship. On the other hand, citizens who performed regular physical exercise reported lower depressive symptomology. Our work contributes to improving the planning of mental health promotion after the COVID-19 pandemic and future emergencies.