Research in Archives of Internal Medicine shows those who eat at least a bar every week are more glum than those who only eat chocolate now and again.
Many believe chocolate has the power to lift mood, and the US team say this may be true, although scientific proof for this is lacking.
But they say they cannot rule out that chocolate may be a cause rather than the cure for being depressed.
In the study, which included nearly 1,000 adults, the more chocolate the men and women consumed the lower their mood.
Those who ate the most - more than six regular 28g size bars a month - scored the highest on depression, using a recognised scale.
None of the men and women were on antidepressants or had been diagnosed as clinically depressed by a doctor.
'Mood food'
Dr Natalie Rose and her colleagues from the University of California, San Diego, say there are many possible explanations for their findings, and that these need to be explored.
It may simply be that people who are depressed crave chocolate as a "self-treatment" to lift mood, or depression may drive the craving without any beneficial effect.
"Alternatively, analogous with alcohol, there could be short-term benefits of chocolate to mood with longer-term untoward effects," they told the journal.
Chocolate could even be a direct cause of depression, the researchers added.
Bridget O'Connell, of the mental health charity Mind, said: "The way we feel and what we eat can be closely related, and many people will be familiar with craving particular foods or comfort eating when they are stressed, under pressure or depressed.
"However, as this study shows, more research is needed to determine exactly what the relationship between chocolate and our mood is."
