Hypertension and depression are both important risk factors for cardiovascular diseases. Nevertheless, the association of blood pressure on and depression has not been completely established. This study aims to analyze whether depression may influence the control of blood pressure in hypertensive individuals at high cardiovascular risk. Cross-sectional study, embedded within the PREDIMED clinical trial, of 5954 hypertensive patients with high cardiovascular risk factor profiles. The relationship between blood pressure control and depression was analyzed. A multivariate analysis (logistic and log-linear regression), adjusting for potential confounders (socio-demographic factors, body mass index, lifestyle, diabetes, dyslipidemia, and antihypertensive treatment), was performed. Depressive patients, with and without antidepressant treatment, had better blood pressure control (OR: 1.28, CI 95%: 1.06-1.55, and OR: 1.30, CI 95%: 1.03-1.65, respectively) than non-depressive ones. Regarding blood pressure levels, systolic blood pressure values (mmHg) were found to be lower in both treated and untreated depressive patients (Log coefficient Beta: -1.59, 95% CI: -0.50 to -2.69 and Log coefficient Beta: -3.49, 95% CI: -2.10 to -4.87, respectively). Among hypertensive patients at high cardiovascular risk, the control of blood pressure was better in those diagnosed with depression.