Background In sub-Saharan African cities, the epidemiological transition has shifted a greater proportion of the burden of non-communicable diseases, including mental and behavioral disorder, to the adult population. The burden of major depressive disorder and its social risk factors in the urban sub-Saharan African population are not well understood and estimates vary widely. We conducted a study in Ouagadougou, Burkina Faso, in order to estimate the prevalence of major depressive episodes among adults in this urban setting. Methods The Ouagadougou Health and Demographic System Site (HDSS) has followed the inhabitants of five outlying neighborhoods of the city since 2008. In 2010, a representative sample of 2,187 adults (aged 15 and over) from the Ouaga HDSS was interviewed in depth regarding their physical and mental health. Using criteria from the Mini International Neuropsychiatric Interview (MINI), we identified the prevalence of a major depressive episode at the time of the interview among respondents and analyzed its association with demographic, socioeconomic, and health characteristics through a multivariate analysis. Results Major depressive episode prevalence was 4.3 % (95 % CI: 3.1–5.5 %) among the survey respondents. We found a strong association between major depressive episode and reported chronic health problems, functional limitations, ethnicity and religion, household food shortages, having been recently a victim of physical violence and regularly drinking alcohol. Results show a U-shaped association of the relationship between major depressive episode and standard of living, with individuals in both the poorest and richest groups most likely to suffer from major depressive disorder than those in the middle. Though, the poorest group remains the most vulnerable one, even when controlling by health characteristics. Conclusions Major depressive disorder is a reality for many urban residents in Burkina Faso and likely urbanites throughout sub-Saharan Africa. Countries in the region should incorporate aspects of mental health prevention and treatment as part of overall approaches to improving health among the region's growing urban populations.