Depression is one of the most prevalent mental illnesses in the world. Its associated factors have been scarcely studied in the Latin American population. Our aim was to determine the contextual and individual factors associated with depressive symptoms (DS) in residents of 11 Latin American cities according to the 2019 CAF Survey (ECAF, acronym in Spanish). A multilevel analysis was performed to identify individual and contextual factors associated with DS. DS were measured by the short version of the Center for Epidemiological Studies Depression Scale (CES-D-10). Of the 10,206 participants, 42.0% had DS in the week prior to the survey. Regarding the individual factors studied, women (OR = 1.81, 95% CI: 1.65–1.99), smokers (OR = 1.30, 95% CI: 1.16–1.45), obese, junk food eaters more than twice a week, single people, and a greater number of people in the household were associated with greater probabilities of having DS. On the other hand, a secondary (OR = 0.77; 95% CI: 0.67–0.88) or superior educational level (OR = 0.58; 95% CI: 0.50–0.68) were associated as protective factors. Regarding contextual factors, higher contamination levels (OR = 1.07, 95% CI: 1.01–1.13) were associated with DS. Our study reports associations between individual and environmental factors and DS in residents of Latin America. These findings will allow the adoption of the necessary measures for decision-making and research to face this growing problem in developing countries.