The aim of the study is to determine the prevalence of and factors associated with major depression among those with Fibromyalgia Syndrome (FMS) in a Canadian representative sample. The study was a secondary analysis of a large, nationally representative sample from the Canadian Community Health Survey. The full sample (n = 126,805) was used to determine the prevalence of FMS and odds ratio of depression among those with FMS (n = 1,635) compared to those without (n = 125,170). A subsample of those with FMS (n = 1,635) was used to determine the prevalence of major depression and the demographic, psychosocial and health-related factors associated with it. Those with FMS had approximately three times higher odds of depression in comparison with those without FMS, even when controlling for important socio-demographic characteristics (OR = 2.90; 95% CI = 2.52, 3.33). Based on the subsample of those with FMS, it was found that 22% had current major depression. A multivariate logistic regression model of those with FMS showed depression was associated with younger age, female gender, being unmarried, food insecurity, number of chronic conditions, and limitations in activities. Two-fifths of those with depression and FMS had not discussed mental health concerns with any health professionals in the previous year, highlighting the underuse of mental health services and the need for health professionals to increase screening within this population. The findings may help clinicians target mental health assessments and interventions for their patients with fibromyalgia.