Abstract Background Although depression is a common comorbidity of chronic obstructive pulmonary disease (COPD), the role of sex remains unexplored. We evaluated sex differences of risk factors of depressive symptoms in adults with COPD. Methods This was a population-based cross-sectional study using data from the 2014 and 2016 Korea National Health and Nutrition Examination Survey. Spirometry was used to identify patients with COPD, defined as a FEV₁/FVC ratio < 0.7. Presence of depressive symptoms was defined as a total score ≥ 5 on the Patient Health Questionnaire-9. Results 17.8% of participants expressed depressive symptoms. Relative regression analysis revealed that female sex (RR 2.38; 95% CI 1.55–3.66; p < 0.001), living alone (RR 1.46; 95% CI 1.08–1.97; p = 0.013), current smoker (RR 1.70; 95% CI 1.15–2.52; p = 0.008), underweight (RR 1.58 95% CI 1.00–2.49; p = 0.049), and GOLD Stage III/IV (RR 1.92; 95% CI 1.19–3.09; p = 0.007) were the risk factors for depressive symptoms. Low income, living alone, multiple chronic disorders, and low BMI were risk factors of depressive symptoms in male, whereas low educational attainment, urban living, and current smoking were risk factors in female. Conclusions Female sex is a main risk factor of depressive symptoms in adults with COPD. As risk factors of depressive symptoms in COPD patients vary according to their sex, different approaches are needed to manage depression in males and females with COPD.