Background: Infertility is a global problem, particularly in developing countries, and it has been linked with emotional responses such as depression, anxiety, guilt, social isolation, and decreased self-esteem in both men and women. Aim: This study was conducted to assess the perception, prevalence and correlates of depression among females attending the Gynecological Clinic of Usmanu Danfodiyo University Teaching Hospital, Sokoto, Nigeria. Materials and Methods: A cross-sectional study was conducted among 156 females with infertility (selected by systematic sampling technique) in Sokoto, Nigeria. A structured interviewer-administered questionnaire was used to collect data on the research variables. Data were analyzed using IBM SPSS version 20 statistical computer software package. Results: The mean age of the respondents was 28.3 ± 6.4 years. Majority, 113 (72.4%) of the 156 respondents perceived the need to share their feelings concerning the delay they had in having a child with others, but close to half of them (48.7%) had fears of adverse consequences after doing so. About a fifth of respondents (21.8%) had depression and it was associated with being married for ≤ 3 years, having negative attitude to child adoption, and poor support from in-laws. Conclusion: This study showed high levels of perception of the benefits and consequences of sharing their feelings regarding their infertility with others, and high prevalence of depression among females with infertility in Sokoto, Nigeria. Care providers should promote child adoption among women undergoing fertility treatment, routinely screen them for depression and include their extended family members in the interventions for preventing depression among them.