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Objective: This study aimed to examine the association between sleep duration on weekdays and weekends and depression among Korean adults. Design: Cross-sectional study. Setting: South Korea, utilizing data from 2016 and 2018 Korea National Health and Nutrition Examination Survey (KNHANES). Participants: A total of 7669 South Korean adults aged 19−64 years. Measures: Depression was assessed using the Patient Health Questionnaire-9 (PHQ-9). Sleep duration was classified separately for weekdays and weekends and categorized into three groups: <7, 7–9, and ≥9 h. Multiple logistic regression analysis was performed, adjusting for socioeconomic, lifestyle, and health-related variables. Results: Among the participants, 3.6% were identified as having depression. On weekdays, 40.5% of respondents reported an average sleep duration of less than 7 h per day, whereas only 20.3% did so on weekends. Compared to those who averaged 7 to less than 9 h of sleep per day, individuals with short sleep duration (<7 h) on weekdays had significantly higher odds of depression (OR: 1.65; 95% CI: 1.16–2.35), as did those with short sleep on weekends (OR: 1.62; 95% CI: 1.10–2.38). Notably, participants who consistently averaged less than 7 h of sleep per day across both weekdays and weekends demonstrated the highest odds of depression (OR: 1.76; 95% CI: 1.13–2.75). Conclusions: Short sleep duration on both weekdays and weekends was found to be associated with depression. These findings suggest that sleep duration should be considered an important factor in the prevention of depression.