Background: Meta-analysis of observational studies concluded that soft drinks may increase the risk of depression, while high consumption of coffee and tea may reduce the risk. Objectives were to explore the associations between the consumption of soft drinks, coffee or tea and: (1) a history of major depressive disorder (MDD) and (2) the severity of depressive symptoms clusters (mood, cognitive and somatic/vegetative symptoms). Methods: Cross-sectional and longitudinal analysis based on baseline and 12-month-follow-up data collected from four countries participating in the European MooDFOOD prevention trial. In total, 941 overweight adults with subsyndromal depressive symptoms aged 18 to 75 years were analyzed. History of MDD, depressive symptoms and beverages intake were assessed. Results: Sugar-sweetened soft drinks were positively related to MDD history rates whereas soft drinks with non-nutritive sweeteners were inversely related for the high vs. low categories of intake. Longitudinal analysis showed no significant associations between beverages and mood, cognitive and somatic/vegetative clusters. Conclusion: Our findings point toward a relationship between soft drinks and past MDD diagnoses depending on how they are sweetened while we found no association with coffee and tea. No significant effects were found between any studied beverages and the depressive symptoms clusters in a sample of overweight adults.