Objective: To assess the association between household food insecurity (FI) and major depressive episodes (MDE) amid Covid-19 pandemic in Brazil. Design: Cross-sectional study carried out with data from four consecutive population-based studies. Setting: The study was conducted between May and June 2020, in Bagé, a Brazilian southern city. Household FI was measured using the short-form version of the Brazilian Food Insecurity Scale. Utilising the Patient Health Questionnaire-9, we used two different approaches to define MDE: The cut-off point of ≥ 9 and the diagnostic criteria proposed by the Diagnostic and Statistical Manual of Mental Disorders (DSM-IV-TR). Association between FI and MDE was analysed using crude and adjusted Poisson regression models. Participants: 1550 adults (≥ 20 years old). Results: The prevalence of household FI was 29·4 % (95 % CI 25·0, 34·4). MDE prevalence varied from 4·4 % (95 % CI 3·1, 6·0), when we used the DSM-IV-TR criteria to define this condition, to 9·6 % (95 % CI 7·3, 12·5) of the sample, when we used the cut-off point of ≥ 9 as definition. The prevalence of MDE was more than two times higher in those individuals living with FI, independent of the criteria adopted to define the outcome. Adjustment for potential confounders did not change the association's magnitude. Conclusions: Household FI has been positively associated with MDE amid Covid-19 pandemic, independent of socio-demographic characteristics of participants. Actions are needed to warrant basic living conditions to avoid FI and hunger and its consequences for the Brazilian population, especially those consequences linked to mental health disorders.