Depression is a growing public health problem in the European Union (EU), with many individuals turning to self-medication (SM) to manage their symptoms. This cross-sectional study uses data from the third wave of the European Health Interview Survey (EHIS; 2018-2020) to examine the prevalence and determinants of SM among people with recognized depression and depressive symptoms. A total of 25,701 respondents were analyzed. Prevalence of SM among individuals with recognized depression and symptoms of depression in the EU is 38.46% in men and 46.84% in women, varying considerably between countries. An important finding of this study is the impact of medication availability, with access to over-the-counter (OTC) medications outside of pharmacies nearly doubling SM likelihood (adjusted odds ratio [AOR] = 1.98). Additionally, the results reveal marked differences in how these men and women self-medicate. Specifically, women are more likely to self-medicate with depressive symptoms versus recognized depression (AOR = 1.28), whereas the opposite is observed in men (AOR = 0.69). Among women, younger age groups with depression symptoms are particularly likely to self-medicate (15-24 AOR = 1.60; 25-44 AOR = 1.93) and the results reinforce education as a strong predictor of SM (higher education vs. no education AOR = 5.63). Visits to medical/surgical specialists are also linked to SM in women (AOR = 1.32). This study also highlights potentially concerning relationships between SM and alcohol use in men with recognized depression (AOR = 1.42) and prescribed medicine (AOR = 1.68). Differences are also observable in the effect of employment on SM (AOR = 1.45) in men with depression symptoms and women with recognized depression. In contrast, physical activity (PA; high vs. low AOR = 1.32) and healthcare barriers (distance/transportation issues AOR = 1.89 in women; AOR = 1.55 in men, inability to afford care AOR = 1.38) display similar positive associations in men and women. Taken together, these findings underscore the complex and multifaceted nature of SM and point to potential gaps in depression care across the EU, emphasizing the need for gender-sensitive public health strategies and a closer look at OTC medication access.