Objective: Depression, one of the most prevalent and disabling disorders in Europe, is thought to be associated with unhealthy eating styles. As prevalence of depression and eating styles potentially differ across Europe, the current study aimed to investigate in a large, European sample, the associations of history of major depressive disorder and depression severity with unhealthy eating styles. Methods: Baseline data of the MooDFOOD prevention study was used. The current analysis included 990 participants of four European countries (The Netherlands, United Kingdom, Germany, Spain). Analyses of Covariance and linear regression analyses were performed with depression history or depression severity as determinants, and emotional, uncontrolled, and cognitive restrained eating (Three Factor Eating Questionnaire Revised, 18 item) as outcomes. Results: Depression history and severity were associated with more emotional and uncontrolled eating and with less cognitive restrained eating. Mood, somatic, and cognitive symptom clusters were also associated with more emotional and uncontrolled eating, and with less cognitive restrained eating. The somatic depressive symptoms “increased appetite” and “increased weight” were more strongly associated to unhealthy eating styles compared to other symptoms. No differences in associations between depression and unhealthy eating were found between European countries. Conclusion: Our results suggest that depression is related to more unhealthy eating styles. Diminishing unhealthy eating styles in subthreshold depressed persons could potentially reduce adverse health consequences like weight gain, unhealthy dietary patterns and weight-related diseases. It is also possible that interventions that decrease depressive symptoms can lead to a decrease in unhealthy eating styles.