Purpose: To update the prevalence of depression in the US and identify whether misperception exists in depression assessed by self-report versus validated tools administered by trained professionals. Methods: We extracted data on sociodemographic characteristics, lifestyle factors, medical conditions, depressive symptoms, and self-reported depressive feeling from National Health and Nutrition Examination Survey (NHANES) study 2015–2018. We calculated the weighted prevalence and 95% CI of depressive symptoms assessed by a validated tool PHQ-9 (score≥10) and self-reported depression respectively. Then, we performed multivariable logistic regressions to identify their sociodemographic and lifestyle correlates. Finally, we calculated the agreement between PHQ-9 assessed depressive symptoms and self-reported depressive feeling to examine possible misperception. Results: The present analysis included a total of 10,257 adults (Weighted N = 215,964,374) aged 20 years and older. Prevalence of depressive symptoms (PHQ-9 score ≥10) were 8.0% from 2015 to 2018 in the US. 19.7% and 11.3% adults reported feeling depressed at least once a month and at least once a week, respectively. Depressive experience was largely misperceived in the US (Kappa agreement = 50.98%, Cohen's Kappa = 0.16, p < 0.001). Particularly, an estimated 1.1 million US adults had depressive symptoms but never felt being depressed. Several consistent demographic and behavioral correlates were identified across the two measures, namely: age, sex, race/ethnicity, poverty and sitting time. Conclusions: A high prevalence of depression was found, and misperception of depression exists among the US adult population. Our findings highlight an urgent need for health professionals to reduce the burden of depression with considering patients’ socioeconomic status and lifestyle factors.