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Abstract Background There is now evolving data exploring the relationship between depression and various individual lifestyle factors such as diet, physical activity, sleep, alcohol intake, and tobacco smoking. While this data is compelling, there is a paucity of longitudinal research examining how multiple lifestyle factors relate to depressed mood, and how these relations may differ in individuals with major depressive disorder (MDD) and those without a depressive disorder, as ‘healthy controls’ (HC). Methods To this end, we assessed the relationships between 6 key lifestyle factors (measured via self-report) and depressed mood (measured via a relevant item from the Patient Health Questionnaire) in individuals with a history of or current MDD and healthy controls (HCs). Cross-sectional analyses were performed in the UK Biobank baseline sample, and longitudinal analyses were conducted in those who completed the Mental Health Follow-up. Results Cross-sectional analysis of 84,860 participants showed that in both MDD and HCs, physical activity, healthy diet, and optimal sleep duration were associated with less frequency of depressed mood (all p < 0.001; ORs 0.62 to 0.94), whereas screen time and also tobacco smoking were associated with higher frequency of depressed mood (both p < 0.0001; ORs 1.09 to 1.36). In the longitudinal analysis, the lifestyle factors which were protective of depressed mood in both MDD and HCs were optimal sleep duration (MDD OR = 1.10; p < 0.001, HC OR = 1.08; p < 0.001) and lower screen time (MDD OR = 0.71; p < 0.001, HC OR = 0.80; p < 0.001). There was also a significant interaction between healthy diet and MDD status (p = 0.024), while a better-quality diet was indicated to be protective of depressed mood in HCs (OR = 0.92; p = 0.045) but was not associated with depressed mood in the MDD sample. In a cross-sectional (OR = 0.91; p < 0.0001) analysis, higher frequency of alcohol consumption was surprisingly associated with reduced frequency of depressed mood in MDD, but not in HCs. Conclusions Our data suggest that several lifestyle factors are associated with depressed mood, and in particular, it calls into consideration habits involving increased screen time and a poor sleep and dietary pattern as being partly implicated in the germination or exacerbation of depressed mood.