Depression burder is high worldwide. Socioeconomic factors and exposure to extreme situations at work may be associated with the illness. This study focused on the prevalence of depression and associated factors among firefighters in Belo Horizonte, Minas Gerais State, Brazil. A cross-sectional study was conducted among male firefighters in Belo Horizonte (n = 711). The Beck Depression Inventory (BDI) was used to assess depression. Univariate and multivariate logistic regression models were used to study the association between socio-demographic characteristics, occupational stressors, health status, and depression. Prevalence of depression in the sample was 5.5%. The likelihood of developing depression was higher among firefighters who reported post-traumatic stress symptoms (OR = 12.47; 95%CI: 5.64-27.57) and alcohol abuse (OR = 5.30; 95%CI: 2.35-11.96). The results are discussed considering the interrelationships between mental disorders, the healthy worker effect, and social recognition of firefighters' work.