A growing burden of mental illness, and in particular depression, among workers is a concern of occupational public health. Scientific evidence has revealed consistent associations of work-related stress, as measured by theoretical models, with depression, but mostly so in developed countries. This contribution explores these associations in a developing Latin American country, Brazil, by applying an internationally established work stress model, the effort-reward imbalance (ERI). This model focuses on the work contract where unjust exchange between high efforts spent and low rewards received in turn contributes to stress-related disorders. The model’s extrinsic (‘effort’, ‘reward’) and intrinsic components (‘over-commitment’), as well as their combination, are hypothesized to be related to a higher risk of depressive episodes (DE). Using cross-sectional data from the ELSA-Brasil study, including 10,034 workers from the public sector, we observed increased prevalence ratio (PR) of DE according to ERI scales. The quartiles of highest ‘effort’ (PR = 1.85; 1.44–2.37), highest ‘over-commitment’ (PR = 3.62; 2.80–4.70) and lowest ‘reward’ (PR = 3.44; 2.55–4.64) were associated with DE, on adjusted models, as well was the E–R ratio (PR = 2.47; 1.92–3.17). An additive interaction was identified between the E–R ratio and ‘over-commitment’. The results support the use of ERI as a screening tool for work stress in the Brazilian context and will offer guidance for worksite health promotion programs.