This study investigates the combined effects of environmental pollutants (lead, cadmium, total mercury) and behavioral factors (alcohol consumption, smoking) on depressive symptoms in women. Data from the National Health and Nutrition Examination Survey (NHANES) 2017-2018 cycle, specifically exposure levels of heavy metals in blood samples, were used in this study. The analysis of these data included the application of descriptive statistics, linear regression, and Bayesian Kernel Machine Regression (BKMR) to explore associations between environmental exposures, behavioral factors, and depression. The PHQ-9, a well-validated tool that assesses nine items for depressive symptoms, was used to evaluate depression severity over the prior two weeks on a 0-3 scale, with total scores ranging from 0 to 27. Exposure levels of heavy metals were measured in blood samples. BKMR was used to estimate the exposure-response relationship, while posterior inclusion probability (PIP) in BKMR was used to quantify the likelihood that a given exposure was included in the model, reflecting its relative importance in explaining the outcome (depression) within the context of other predictors in the mixture. A descriptive analysis showed mean total levels of lead, cadmium, and total mercury at 1.21 µg/dL, 1.47 µg/L, and 0.80 µg/L, respectively, with a mean PHQ-9 score of 5.94, which corresponds to mild depressive symptoms based on the PHQ-9 scoring. Linear regression indicated positive associations between depression and lead as well as cadmium, while total mercury had a negative association. Alcohol and smoking were also positively associated with depression. These findings were not significant, but limitations in linear regression prompted a BKMR analysis. BKMR posterior inclusion probability (PIP) analysis revealed alcohol and cadmium as significant contributors to depressive symptoms, with cadmium (PIP = 0.447) and alcohol (PIP = 0.565) showing notable effects. Univariate and bivariate analyses revealed lead and total mercury's strong relationship with depression, with cadmium showing a complex pattern in the bivariate analysis. A cumulative exposure analysis of all metals and behavioral factors concurrently demonstrated that higher quantile levels of combined exposures were associated with an increased risk of depression. Finally, a single variable-effects analysis in BKMR revealed lead, cadmium, and alcohol had a stronger impact on depression. Overall, the study findings suggest that from exposure to lead, cadmium, mercury, alcohol, and smoking, cadmium and alcohol consumption emerge as key contributors to depressive symptoms. These results highlight the need to address both environmental and lifestyle choices in efforts to mitigate depression.