Our aim was to analyze the association between previously diagnosed lifetime depression and changes in physical activity (PA), TV-viewing, consumption of fruits and vegetables as well as frequency of ultra-processed food (UPF) consumption. Data of 41,923 Brazilian adults (6,881 with depression and 35,042 without depression) were used. Participants reported PA (≥ 150 min/week), TV-viewing (≥ 4 h/day), frequency of eating fruits or vegetables (≤ 4 days/week) and UPF (≥ 5 days/week). For incidence indicators, we only considered participants without the risk behavior before the quarantine. People without and with depression presented, respectively, incidence of physical inactivity [70.1% (95%CI: 67.4-72.8) vs 76.3 (70.3-81.5)], high TV-viewing [31.2 (29.6-32.8) vs 33.9 (30.5-37.4)], low frequency of fruit or vegetable consumption [28.3 (25.8-31.0) vs 31.5 (26.1-37.5)] and elevated frequency of UPF consumption [9.7 (8.9-10.7) vs 15.2 (13.0-17.7)]. Participants with depression were more likely to present elevated frequency of UPF consumption incidence [OR:1.49 (95%CI:1.21-1.83)]. Thus, participants with previous diagnosis of depression were at risk for incidence of unhealthy diet behaviors.