The associations between health behaviors and depressive symptoms have been demonstrated in many studies. However, job strain has also been associated with health behaviors. The aim of this study was to analyze whether health behaviors such as physical activity, sleeping, smoking and alcohol intake are associated with depressive symptoms after adjusting for job strain. Workers were recruited from nine companies and factories located in east and central areas of Japan. The Center for Epidemiologic Studies Depression (CES-D) Scale was used to assess depressive symptoms. Psychological demand and control (decision-latitude) at work were measured with the Job Content Questionnaire. Multiple logistic regression analysis was used to determine the independent contribution of each health behavior to depressive symptoms. Among the total participants, 3,748 (22.7%) had depressive symptoms, which was defined as scoring 16 or higher on the CES-D scale. Using the multiple logistic regression analysis, depressive symptoms were significantly associated with physical activity less than once a week (adjusted relative risk [ARR] = 1.18, 95% confidence interval [CI], 1.14 to 1.25) and daily hours of sleep of 6 h or less (ARR, 1.25; 95% CI, 1.14 to 1.35). Smoking and frequency of alcohol intake were not significantly associated with depressive symptoms. This study suggests some health behaviors such as physical activity or daily hours of sleep are associated with depressive symptoms after adjusting for job strain.