This study sought to examine the association between lifestyle-related behaviors and depressive symptoms among college students. This cross-sectional study analyzed baseline data of a dynamic-cohort study from a public university in Central-Western Brazil, in all 21 undergraduate full-time courses. Students up to 25 years old who were enrolled for the first time in a university were included in the study, except pregnant and/or nursing women. All students who met the eligibility criteria were invited to participate in the study. From a total of 1,212 eligible students, 1,038 were included (85.6%). All participants answered a self-administered questionnaire on smoking, alcohol consumption, screen time, sleep duration, and meal patterns. Depressive symptoms were assessed using the Patient Health Questionnaire-9 (PHQ-9). Multivariate Poisson regression models stratified by sex were used to estimate the associations. Depressive symptoms was observed in 31.6% (males 23.6%; females 39.9%; p-value chi-square test = 0.01) of the students. Smoking, drinking spirits, and having irregular meal habits were directly associated with depressive symptoms in both males and females. The co-occurrence of two risk behaviors (men: aPR = 2.23, 95%CI: 1.25; 3.99; women: aPR = 1.54, 95%CI: 1.03; 2.30) and three or more risk behaviors (men: aPR = 3.42, 95%CI: 1.90; 6.16; women: aPR = 2.09, 95%CI: 1.39; 3.15) increased the occurrence of depressive symptoms among the students. Lifestyle-related unhealthy behaviors were associated with an increased occurrence of depressive symptoms among college students. These findings suggest the need of interventions encouraging changes in lifestyle to promote mental health and to improve the quality of life in this group.