Urban areas are associated with higher depression risks than rural areas. However, less is known about how different types of urban environments relate to depression risk. Here, we use satellite imagery and machine learning to quantify three-dimensional (3D) urban form (i.e., building density and height) over time. Combining satellite-derived urban form data and individual-level residential addresses, health, and socioeconomic registers, we conduct a case-control study (n = 75,650 cases and 756,500 controls) to examine the association between 3D urban form and depression in the Danish population. We find that living in dense inner-city areas did not carry the highest depression risks. Rather, after adjusting for socioeconomic factors, the highest risk was among sprawling suburbs, and the lowest was among multistory buildings with open space in the vicinity. The finding suggests that spatial land-use planning should prioritize securing access to open space in densely built areas to mitigate depression risks.