People with cardiovascular risk have more depression than the general population. Depression and cardiovascular risk have been commonly linked to lower sense of coherence (SOC) values, unhealthy lifestyles, and poor sleep quality. The aim of this study was to analyze the association between depression, health-related lifestyles, sleep quality, and SOC in a population with cardiovascular risk. A cross-sectional study was conducted in 310 participants (aged 35-75 years) with cardiovascular risk. Sociodemographic and anthropometric characteristics, cardiovascular risk, SOC score, depression levels, sleep quality, and lifestyles (physical activity, diet quality (measured as the adherence to the Mediterranean diet), and tobacco and alcohol consumption) were determined. The regression analysis showed significant associations between depression levels and sex (odds ratio (OR): 2.29; 95% CI: 1.29, 4.07), diet (OR: 0.85; 95% CI: 0.73, 0.99), body mass index (BMI) (OR: 1.06; 95% CI: 1.01, 1.12), cardiovascular disease (CVD) (OR: 2.55; 95% CI: 1.18, 5.48), sleep quality (OR: 0.26; 95% CI: 0.15, 0.46), and SOC (OR: 0.96; 95% CI: 0.94, 0.98). Protective effects of male sex, a lower BMI, no CVD, a higher adherence to the Mediterranean diet, a high sleep quality, and a higher SOC were found. In conclusion, among lifestyles determined, only diet was associated with depression levels. SOC and sleep quality were also found as significant predictors for depression levels.