Depressive symptoms are frequent in students and may lead to countless problems. Several hypotheses associate magnesium with depression because of the presence of this mineral in several enzymes, hormones, and neurotransmitters, which may play a key role in the pathological pathways of depression. The aim of this study was to assess whether magnesium intake could modulate depressive symptoms. A cross-sectional study was conducted on a convenience sample of 402 Iranian postgraduate students studying in Malaysia to assess the relationship between magnesium intake and depressive symptoms. The mean age of the participants was 32.54 ± 6.22 years. The results of the study demonstrated an inverse relationship between magnesium intake and depressive symptoms, which persisted even after adjustments for sex, age, body mass index, monthly expenses, close friends, living on campus, smoking (current and former), education, physical activity, and marital status.