Background: Depression is a prevalent and most burdensome mental disorder. The objectives of this study are: to assess the prevalence of major depressive disorder in the adult population of Spain; and to analyse its association with personal and socio-economic factors. Methods: Data from the European Health Interview Survey in Spain (2014–2015) were analysed (n = 21,546). DSM-IV Major Depressive Disorder (MDD) was assessed with the PHQ-8. Personal (age, marital status, and country of birth) and socio-economic (educational level, residence area, employment status and occupational social class) factors were also measured. Prevalence by gender and by personal and socio-economic factors was estimated. Crude (OR) and adjusted (aOR) Odds Ratio and their 95% Confidence Intervals (95%CI) were calculated using logistic regression models. All analyses were stratified by gender. Results: Prevalence of MDD was 8.0% (95%CI: 7.3–8.6) among women and 4.1% (95%CI: 3.7–4.6) among men. For both genders, MDD was more prevalent among unemployed and among those in more disadvantaged social classes. Among women only, MDD was more prevalent for those widowed or separated, those with lower educational level, those retired, pre-retired or homemakers and in older ages. Among men only, MDD was more prevalent among those that were born in Spain. Limitations: Data are cross-sectional and the sensitivity and specificity of PHQ-8 are not perfect. Conclusions: Prevalence of MDD in Spain is high, especially among women, and is strongly associated with personal variables and socio-economic disadvantage. Intersectoral interventions aimed at diminishing the impact of socio-economic disadvantage may help decreasing the societal burden of depression.