Abstract Background The world is facing a public health emergency situation caused by the COVID-19 pandemic. Psychological wellbeing among individuals worldwide has been negatively affected by the pandemic especially in low- and middle-income countries such as Bangladesh. The present study aimed to assess the estimate of depressive symptoms and investigated its associations with COVID-19 preventive practice measures, daily activities in home quarantine, and suicidal behaviors in a large-scale Bangladeshi online survey. Methods An online-based cross-sectional survey was widely distributed to Bangladeshi citizens. A total of 13,654 participants (61.0% male; mean age = 24.0 years [SD = 6.0]; age range 18–65 years) completed the survey between May and June (2020). The survey included socio-demographics and COVID-19-related questions, along with lifestyle, suicidal, and psychometric measures. Hierarchical regression was performed to determine significant associations between depression and examined variables. Results The estimate of depressive symptoms during the COVID-19 pandemic was 43.5%. Based on hierarchical regression analysis, depression was significantly associated with not engaging in COVID-19 preventive measures, daily activities in home quarantine (e.g., playing videogames), and suicidal behaviors. Conclusions Depressive symptoms appeared to be high during the COVID-19 pandemic in Bangladesh. To fight against the pandemic, mental health issues as well as physical health issues need to be taken into consideration.