Background: Less research has linked the Systemic Immune Inflammatory Index (SII) with post-stroke depression (PSD). This study aims to look at any potential connections between SII and PSD. Methods: The National Health and Nutrition Examination Survey (NHANES), conducted in a population that embodied complete SII and stroke data from 2005 to 2020, was used to perform the current cross-sectional survey. A fitted smoothed curve was used to depict the nonlinear link between SII and PSD, and multiple linear regression analysis demonstrated a positive correlation between SII and PSD. Results: Multiple linear regression analysis showed that SII and PSD were markedly related [1.11(1.05, 1.17)]. Interaction tests showed that the association between SII and PSD was not statistically different between strata, and age, sex, BMI, income poverty ratio, education level, smoking status, diabetes mellitus, coronary heart disease, and heart failure did not have a significant effect on this positive association (p > 0.05 for interaction). In addition, a nonlinear association between SII and PSD was found using a two-stage linear regression model. Conclusion: The results of our research support the existence of a significant positive correlation between SII levels and PSD. Further prospective trials are required to comprehend SII, which is for the PSD thoroughly.