Previous studies reported a correlation between olfactory function and depression. However, in literature, no data are available for the correlation between depression and all other factors such as age, sex, olfactory, gustatory, and cognitive function in healthy subjects taken together. The aim of this study was to provide a systematic account regarding the association between those variables in a non-clinical population. Two hundred and seventy-three participants were recruited with an age range of 19-84 years. Olfactory, gustatory, cognitive function, and depression level were evaluated by means of the following tests: the Sniffin' Sticks test, Taste Strips test, Montreal Cognitive Assessment (MoCA), and Beck Depression Inventory (BDI). In our data, an age-related decrease in olfactory and gustatory function and a decline in cognitive functions such as attention, memory, and language were observed. Instead, no significant differences were observed for the depression level in relation to the different age ranges. However, our results indicated that the depression level could be associated to sex, odor identification impairment, and decreased attention and language. Sex, the odor identification impairment, and an age-related decrease in attention and language are associated with increased level of depression in healthy subjects. Our data can be useful and informative for health care workers, that is, to have adequate preventive strategies to be used whenever these conditions are detected and recognized.