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Background Depression is a leading contributor to global disease burden and is associated with premature mortality. The relationship between the prognostic nutritional index (PNI) and all-cause mortality in individuals with depression remains unclear. This study aimed to investigate the association between PNI and all-cause mortality in American adults with depression.Methods A population-based cohort study was performed using data from the National Health and Nutrition Examination Survey 2005–2018, linked to the National Death Index. Cox proportional hazards models were used to assess the association between PNI and mortality risk. Kaplan-Meier survival analysis was performed to compare survival differences. Threshold effect analysis and log-likelihood ratio tests were employed to detect potential nonlinear relationships. Subgroup analyses were performed to assess the robustness of the findings.Results This analysis included 2828 participants with depression, with 341 (12.06%) deaths recorded. Compared with lower PNI, higher PNI was associated with a significant reduction in mortality risk, exhibiting a non-linear relationship. Threshold effect analysis identified a critical inflection point at PNI=52.5. Below this threshold, each unit increase in PNI was associated with a 12% reduction in mortality risk (HR=0.88, 95% CI 0.85 to 0.92). Above this cut-off, no significant association with survival was observed. Subgroup analyses confirmed these primary findings.Conclusions Low PNI level was associated with elevated all-cause mortality risk in individuals with depression, which might inform targeted interventions to reduce premature death in this vulnerable population.