Background: Several modifiable lifestyle indicators, including diet, smoking, alcohol consumption, weight and physical activity have been associated with depression; however, their combined effect has been less studied. The aim of this study was to calculate a Healthy Lifestyle Index (HLI) composed of the 5 above-mentioned indicators and investigate its association with incident depressive symptoms. Methods: The study sample consisted of 25,837 participants from the NutriNet-Sante study, initially free of depressive symptoms. The HLI was computed by assigning 1 point to each lifestyle indicator namely healthy diet, healthy weight, moderate or high physical activity, never smoking and low alcohol consumption. Depressive symptoms were measured using the Center for Epidemiologic Studies Depression Scale (CES-D). Hazard Ratios were estimated using Cox proportional hazards models and population attributable risks (PAR) were calculated. Results: A total of 2112 incident cases of depressive symptoms were identified over a mean follow-up of 5 years. After accounting for a wide range of potential confounders, a 1-point increase in the HLI was associated with a 10% (95% CI 6%; 13%) reduction in the risk of depressive symptoms. The estimated PAR representing the proportion of cases that are attributable to non-adherence to specific healthy lifestyle indicators were 8% for healthy diet, 5% for healthy weight, 5% for non-smoking and 14% for the non-adherence to a combination of healthy diet, healthy weight and non-smoking. Limitations: Some unmeasured factors related to both depression and lifestyle indicators, such as family history of depressive disorder, stressful life events, and sleep disorders might have led to potential residual confounding. Conclusions: Modifying unhealthy lifestyles, especially diet, weight and smoking, is a potential target of major interest in the prevention of depressive symptoms in adults.