This research assessed the association between the adherence to a Mediterranean lifestyle beyond the Mediterranean diet and the risk of depression in a prospective cohort of Spanish university graduates. Through a dynamic cohort study method, diet was assessed with a validated semiquantitative food-frequency questionnaire. The baseline assessment included a validated questionnaire on physical activity and average time spent with friends (socializing). Mediterranean lifestyle was defined as the joint exposure to Mediterranean diet, level of physical activity, and level of socializing. After a median follow-up of 8.5 years, 806 cases of depression among 11,800 participants were observed. Participants with the highest adherence to the Mediterranean lifestyle showed a 50% relative risk reduction in depression risk as compared to those participants with the lowest adherence (multivariable hazard ratio = 0.50; 95% confidence interval = [0.32, 0.81]). The Mediterranean lifestyle might reduce depression risk in the Seguimiento Universidad de Navarra cohort study beyond the known effects of the Mediterranean diet.