Coffee is one of the most widely consumed drinks around the world, while depression is considered the major contributor to the overall global burden of disease. However, the investigation on coffee consumption and depression is limited and results may be confounded by the overall dietary pattern. We assessed the relationship between coffee intake and the risk of depression, controlling for adherence to the Mediterranean diet. We studied 14,413 university graduates of the ‘Seguimiento Universidad de Navarra’ (SUN) cohort, initially free of depression. We evaluated coffee consumption using a validated food-frequency questionnaire (FFQ). Incident depression cases were adjudicated only if the participant met two criteria simultaneously: (a) validated physician-diagnosed depression together with (b) new onset of habitual antidepressant use. Both criteria were needed; participants meeting only one of them were not classified as cases. Participants who drank at least four cups of coffee per day showed a significantly lower risk of depression than participants who drank less than one cup of coffee per day (HR: 0.37 (95% CI 0.15–0.95)). However, overall, we did not observe an inverse linear dose–response association between coffee consumption and the incidence of depression (p for trend = 0.22).