Elevated levels of circulating high-sensitivity C-reactive protein (hs-CRP) have been observed in depression, with the body mass index (BMI) being a major mediator of this association. However, the sex difference in the association between hs-CRP and depression remains unclear. This study aimed to investigate the sex difference in the association between hs-CRP and depression. Data from the 2016 Korea National Health and Nutritional Examination Survey were used for our study. High hs-CRP was defined as >3.0 mg/L, while depression was determined using a cut-off score of 10 in the Patient Health Questionnaire-9. The study population comprised 5,483 Korean adults. Men with high hs-CRP levels showed statistically higher prevalence of depression than those with low hs-CRP levels (8.90% vs. 3.65%, P < 0.0001). The high hs-CRP group was 1.86 times more likely to have depression after adjusting for BMI and other covariates in men (adjusted odds ratio: 1.86; 95% confidence interval: 1.07-3.25; P = 0.029). Meanwhile, no statistically significant association between hs-CRP and depression was found among women. Depression was considerably associated with hs-CRP only in men, indicating a biological difference between men and women that can independently modify the relationship between hs-CRP and depression.