Background: Medical students face high academic pressure, long hours, sleep deprivation and emotional stress, making them vulnerable to depression. Quantifying prevalence and identifying modifiable risk factors helps plan preventive strategies. Objective: To estimate the prevalence of depression among undergraduate medical students and identify associated sociodemographic and academic risk factors. Methods: Cross-sectional study of 300 undergraduate medical students (years 1–5) at a tertiary medical college. Data were collected using a structured proforma and the Patient Health Questionnaire-9 (PHQ-9). Additional data included demographic details, year of study, sleep duration, substance use, family history of mental illness, academic stress and financial stress. Depression was defined as PHQ-9 score ≥5 (mild or greater). Data were analysed with descriptive statistics, chi-square tests and multivariable logistic regression. Significance was set at p < 0.05. Results: Mean age was 21.4 ± 1.8 years; 180 (60%) were female. Overall prevalence of depression (PHQ-9 ≥5) was 34.0% (102/300). Severity distribution: none (PHQ-9 0–4) 198 (66.0%), mild 72 (24.0%), moderate 21 (7.0%), moderately severe 6 (2.0%), severe 3 (1.0%). Moderate-to-severe depression (PHQ-9 ≥10) prevalence was 10.0% (30/300). Depression prevalence was higher in females (72/180 = 40.0%) than males (30/120 = 25.0%); odds ratio (OR) = 2.00. Key factors associated with depression on multivariable analysis were: sleep <6 hours/night (adjusted OR 3.1, 95% CI 1.9–5.1), positive family history of mental illness (aOR 3.4, 95% CI 1.8–6.4), high perceived academic stress (aOR 2.5, 95% CI 1.5–4.1), and financial stress (aOR 2.2, 95% CI 1.3–3.8). Conclusions: One in three medical students had evidence of depression; 1 in 10 had moderate-to-severe symptoms. Sleep restriction, family history and academic/financial stress were important, potentially modifiable risk factors. Routine mental health screening, sleep hygiene counselling, academic support and accessible psychological services are recommended.