In South Korea, the number of older adults living alone is rapidly increasing with the growth of the ageing population. Although there is some evidence of a link between financial strain and depression in this population, there is limited empirical evidence on the relationship between food insecurity and depression in older adults living alone despite the fact that they have a high prevalence of food insecurity and tend to seek food assistance. This study aims to investigate whether food insecurity explains depressive symptoms in Korean older adults living alone. We employed data from the Korea Welfare Panel Study collected from a large-scale national sample in South Korea. Our sample consisted of 815 older adults aged 65 or older who lived alone. Conducting ordinary least square regression analyses, we tested the main effect of food insecurity on depression and the interaction effect of food insecurity and low income. We found that the relationship between food insecurity and depressive symptoms differed by low-income status (b = 6.27, p = 0.047). The association was significant only in the low-income group (b = 1.37, p = 0.04). These findings suggest that protecting access to food may be a promising strategy to lessen depressive symptoms associated with financial strain among older adults living alone.