We aimed to develop prediction models for depression among U.S. adults with hypertension using various machine learning (ML) approaches. Moreover, we analyzed the mechanisms of the developed models. This cross-sectional study included 8,628 adults with hypertension (11.3% with depression) from the National Health and Nutrition Examination Survey (2011-2020). We selected several significant features using feature selection methods to build the models. Data imbalance was managed with random down-sampling. Six different ML classification methods implemented in the R package caret-artificial neural network, random forest, AdaBoost, stochastic gradient boosting, XGBoost, and support vector machine-were employed with 10-fold cross-validation for predictions. Model performance was assessed by examining the area under the receiver operating characteristic curve (AUC), accuracy, precision, sensitivity, specificity, and F1-score. For an interpretable algorithm, we used the variable importance evaluation function in caret. Of all classification models, artificial neural network trained with selected features (n = 30) achieved the highest AUC (0.813) and specificity (0.780) in predicting depression. Support vector machine predicted depression with the highest accuracy (0.771), precision (0.969), sensitivity (0.774), and F1-score (0.860). The most frequent and important features contributing to the models included the ratio of family income to poverty, triglyceride level, white blood cell count, age, sleep disorder status, the presence of arthritis, hemoglobin level, marital status, and education level. In conclusion, ML algorithms performed comparably in predicting depression among hypertensive populations. Furthermore, the developed models shed light on variables' relative importance, paving the way for further clinical research.