Objectives: To assess the prevalence of depressive symptoms and examine their associations with tuberculosis-related knowledge, attitudes, and practices (KAP) among patients with multidrug-resistant tuberculosis (MDR-TB). Methods: A cross-sectional study was conducted among 528 MDR-TB patients. Depressive symptoms were measured using the Patient Health Questionnaire-9 (PHQ-9), with a score of ≥10 indicating clinically relevant depression. KAP domains were assessed using a structured scoring system. Associations were analyzed using Spearman correlation and multivariable logistic regression. Results: The mean PHQ-9 score was 5.32 ± 4.35, and 14.96% of participants (n = 79) had clinically relevant depressive symptoms. Among them, 57 had moderate, 17 had moderately severe, and 5 had severe symptoms. Multivariable analysis showed that higher attitude scores were associated with lower odds of depression (aOR = 0.936; 95% CI: 0.886–0.990; p = 0.02). Higher practice scores were also strongly associated with reduced depression risk (aOR = 0.837; 95% CI: 0.778–0.901; p < 0.001). Knowledge score was not independently associated with depression (p = 0.622). Conclusions: Depressive symptoms are common among MDR-TB patients and are more strongly linked to attitudes and practices than to knowledge alone. These findings highlight the importance of integrating mental health screening and behavioral support into MDR-TB management programs to improve comprehensive patient care.