•Associations between different types of sedentary behaviors with depression have not been examined systematically.•We explored longitudinal relationships of passive (e.g. watching TV) and mentally-active (e.g. office-work) sedentary behaviors with incident major depressive disorder (MDD) in adults.•Mentally-active sedentary behaviors may have beneficial effects on adults’ mental well-being.•These effects are largely independent of habitual physical activity levels. Regular physical activity reduces the risk of depression onset and is an effective treatment for mood disorders. Recent studies have reported that sedentary behavior (SB) increases the risk of depression in adults, but relationships of different types of SBs with depression have not been examined systematically. We explored longitudinal relationships of passive (e.g. watching TV) and mentally-active (e.g. office-work) SBs with incident major depressive disorder (MDD). Self-report questionnaires were completed by 40,569 Swedish adults in 1997; responses were linked to clinician-diagnosed MDD obtained from medical registers until 2010. Relationships between passive, mentally-active and total SBs with incident MDD were explored using survival analysis with Cox proportional hazards regression. Models controlled for leisure time moderate-vigorous physical activity and occupational physical activity. Moderating effects of gender were examined. In fully-adjusted models, including only non-depressed adults at baseline, those reporting ≥ 3 h of mentally-active SBs on a typical day (versus < 3 h) had significant lower hazards of incident MDD at follow-up (HR = 0.74, 95% CI = 0.58–0.94, p = 0.018). There was a non-significant positive relationship of passive SBs with incident MDD (HR = 1.20, 95% CI = 0.96–1.52, p = 0.106). The association between total SBs (passive and mentally-active combined) was not significant (HR = 0.91, 95% CI = 0.75–1.10, p = 0.36). Gender did not moderate these associations. Physical activity and SBs were self-reported. Mentally-active SBs may have beneficial effects on adults’ mental well-being. These effects are largely independent of habitual physical activity levels.