There has been an increased focus internationally on the identification and prevention of clinical depression. Individuals exhibiting moderate depressive symptoms, but not meeting thresholds for clinical diagnosis, are not considered to have a mental illness. Nevertheless these individuals experience psychological distress and risk symptoms worsening to clinical levels. Furthermore, research indicates individuals who experience mental illness have increased risk of chronic disease and the associated morbidity contributes to the development and worsening of psychological symptoms. However, the mechanisms underpinning the convergence of physical and psychological health are still being explored. The current study examined the relationship between protective health behaviours and depressive symptomatology in an Australian population, by focussing on the apparent differences in lifestyle approaches for those showing mild, moderate and severe levels of depressive symptoms. A sample of 1 935 Australians, aged 18 to 91, participated in an online survey examining alcohol consumption, sleep hygiene, smoking, physical activity and fruit and vegetable consumption. Depressive symtomatology according to the Center for Epidemiologic Studies Depression Scale (CES-D) was categorised into mild, moderate or severe, where severe symptomatology is consistent with a diagnosis of major depression. The results indicated a significant trend for poorer health behaviours with increasing levels of symptomatology, and significant differences in protective health behaviours across the three symptom categories. Worsening of depressive symptoms was accompanied by a decrease in protective health behaviours, and a rise in maladaptive behaviours. The study suggests that individuals with clinical depression, and those who do not meet the clinical threshold, may benefit from health behaviour interventions. Furthermore, health behaviour interventions targeted at individuals exhibiting moderate depressive symptomatology have the potential to protect against progression of symptoms to clinical diagnostic levels.