© Copyright © 2020 Lam, Arora, Grey, Suen, Huang, Li and Lam. Psychological health among healthcare workers (HCWs) has become a major concern since the COVID-19 outbreak. HCWs perceived risks of contracting COVID-19, in relation to depression were investigated. It was hypothesized that perceived high risk of contracting COVID-19 (close contact with cases, inadequate provision of personal protective equipment, insufficient infection control training, and presence of symptoms) would be significant predictors of depression. Our cross-sectional survey was completed by HCWs across three regions (Hubei, Guangdong, Hong Kong) between March 9 to April 9 2020 using convenience sampling. Depression was assessed using the 9-item Patient Health Questionnaire (PHQ-9). Prevalence of depression was 50.4% (95% CI: 44.5-56.2), 15.1% (10.1-21.9) and 12.9% (10.3-16.2) for HCWs in Hong Kong, Hubei and Guangdong, respectively. The strongest significant risk factors for depression, after adjustment, were HCWs who reported the greatest extent of feeling susceptible to contracting COVID-19 and those who reported the greatest difficulty obtaining face masks. HCWs whose family/peers greatly encouraged face mask use had lower prevalence of depression. Access to adequate supplies of personal protective equipment is essential for the psychological health of HCWs working in stressful environments, through potentially easing their perceptions of vulnerability to COVID-19.