Depression is a heterogeneous mental disorder with multiple symptoms, but only few studies have examined whether associations of risk factors with depression are symptom-specific. We examined whether chronic diseases and social risk factors (poverty, divorce, and perceived lack of emotional support) are differently associated with somatic and cognitive/affective symptoms of depression.Cross-sectional analyses were based on individual-level data from the 31,191 participants of six cross-sectional U.S. National Health and Nutrition Examination Surveys (NHANES) carried out between 2005 and 2016. Depressive symptoms were assessed using the 9-item Patient Health Questionnaire. Information on chronic diseases and social risk factors was self-reported by participants.After adjustment for sex, age, race/ethnicity, and all the of other symptoms besides the outcome symptom, higher number of chronic diseases was independently related to fatigue, psychomotor retardation/agitation, and sleep problems in a dose-response pattern (range of odds ratios: 1.21 to 2.59). Except for concentration problems, social risk factors were associated with almost all of the cognitive/affective symptoms (range of odds ratios: 1.02 to 2.09) but only sporadically with somatic symptoms.All measures were self-reported by the participants, which may have introduced bias to the associations. Cross-sectional data did not allow us to study temporal dynamics.Specific symptoms of depression may be useful in characterizing the heterogeneous etiology of depression with respect to somatic versus social risk factors.