Background Mental health is for everybody, but the individuals in prisons require more focus. Depression is a contributor to the global burden of disease and affects people in prisons in particular. There were limited studies on depression among prisoners. Therefore, the study aimed to assess the magnitude of depression and factors associated with it among prisoners in Wollega Zones Prisons, western Ethiopia. Methods Institutional based cross-sectional study was conducted on randomly selected 368 prisoners from June 1, 2019, up to August 1, 2019, in Wollega zones prisons. Data were collected by trained data collectors through interviewer-administered questionnaires. Data were entered into EpiData version 3.1 and analyzed using SPSS version 20. Bivariable and Multivariable logistic regression model was computed to identify factors associated with depressive symptoms. In the final model, the strength of the association between independent variables and depression was measured using the Adjusted Odds Ratio (AOR) with the corresponding 95% Confidence Interval (CI). Then, in the final model, variables having a p-value of less than 0.05 were considered factors significantly associated with depression. Results Of the total study respondents, 166/368 (45.1%) had symptoms of depression. Lack of job opportunity in prison (AOR = 6.64, 95%CI: 3.65, 12.06), not attending religious place at all (AOR = 3.51, 95%CI: 1.30,10.00), and Unsentenced for suspected crime (AOR = 7.36, 95%CI: 2.08, 26.04) were associated with depression. Conclusion and recommendation This finding showed that the magnitude of depression in prisons was high. Prisoners in the young age group, attending religious places, being married, prisoners who were sentenced for suspected crime on timely and prisoners performing work in prison were less likely to have depression. The prison institution needs to facilitate income-generating activities in prison, promoting prisoners to attend their religious places and promoting timely sentencing.