Background: The presence of metabolic dysfunctions defines metabolic syndrome. While the epidemiology of depression and metabolic abnormalities has been studied, the role of sex remains unclear. Methods: Adults aged 20 and above (N = 3162 (202,474,260 after weighting)) from the 2017–2020 National Health and Nutrition Examination Survey were included. Depression severity was measured using the Patient Health Questionnaire-9 (PHQ-9) score, which was first treated as a continuous variable, with restricted cubic splines plotted. It was then analyzed as quartiles and four levels, adjusting for covariates. The first percentile and non-depressed individuals served as the reference group. Results: Subgroup analyses revealed distinct sex-specific associations between depression severity and metabolic dysfunction. In females, clinical threshold analysis showed increased diabetes (moderate: OR = 2.45, 95% CI: 1.22–4.93, Q: 0.048) and hypertension (moderate: OR = 2.75, 95% CI: 1.27–5.94, Q: 0.042). In males, major depression was strongly associated with metabolic syndrome (OR = 4.83, 95%CI: 2.26–10.31, Q: 0.003), hypertension (OR = 4.23, 95% CI: 1.80–9.98, Q: 0.009), and hypertriglyceridemia (OR = 3.53, 95% CI: 1.37–9.10, Q: 0.039). Quartile analysis showed that in males, the highest depression quartile (Q4) was also linked to non-alcoholic fatty liver disease (NAFLD (OR = 2.42, 95% CI: 1.46–4.01, Q: 0.006)) and metabolic dysfunction-associated steatotic Liver Disease (MASLD (OR = 2.22, 95%CI: 1.44–3.42, Q: 0.003)). Conclusions: Depression is associated with sex-specific metabolic risks: in females, risk is most pronounced at the moderate severity threshold, centered on diabetes and hypertension; in males, risk shows a severity-dependent gradient, strongest for metabolic syndrome, hypertension, hypertriglyceridemia, and fatty liver diseases.