Background Given the many adverse health outcomes associated with depression, it is imperative to promote help-seeking behaviors. However, in Lesotho, there are no published studies that have investigated the help-seeking dynamics for depression. As such, the following questions remain unanswered: (a) What proportion of people living with depression in Lesotho seek help? (b) Are there significant sex differences in the factors associated with help-seeking for depression? To address these questions, we examined the prevalence and sex differences in the factors associated with help-seeking for depression in Lesotho. Methods Secondary data from the 2023-2024 Lesotho demographic and health survey was used. We sampled 2172 men and 1484 women. Binary logistic regression models were fitted in STATA 18. Statistical significance was set at p < 0.05. Results Overall, the proportion of women who sought help for depression was slightly higher (17.1% [14.4-20.3]) compared to men (16.4% [14.3-18.8]). More women (43.6%) sought help for depression from formal help providers than men. Likewise, more than half of male participants (60%) sought help from informal sources. Among men, those with moderate depression had significantly higher odds of seeking help (AOR = 2.02, 95%CI: 1.56-2.61). Help-seeking was also more likely among men with secondary education (AOR = 1.98, 95%CI: 1.13-3.47), those currently in a union (AOR = 1.85, 95%CI: 1.41-2.42) or previously in a union (AOR = 2.30, 95%CI: 1.54-3.45), and those in the richest wealth index (AOR = 1.64, 95%CI: 1.06-2.53). Among women, moderate (AOR = 2.41, 95%CI: 1.76-3.32) and severe depression (AOR = 3.42, 95%CI: 2.26-5.18) significantly increased help-seeking likelihood. Women aged 45-59 years (AOR = 2.46, 95%CI: 1.36-4.45), exposed to media (AOR = 1.63, 95%CI: 1.21-2.19), or consuming alcohol (AOR = 1.36, 95%CI: 1.01-1.84) also had higher odds of seeking help. Conclusion Help-seeking for depression is low among men and women in Lesotho. However, the factors associated with help-seeking differ by sex. Among women, leveraging the media could yield more effective outcomes; among men, addressing poverty and improving education could prove effective in improving help-seeking for depression. The study also underscores a need to focus on harnessing the potential of informal support networks.