Background Studies on whether the co-occurrence of psychotic experiences (PEs) and depression confers a more pronounced decrement in health status and function compared with depression alone are scarce in the general adult population. Method Data on 195 479 adults aged 18 years from the World Health Survey were analysed. Using the World Mental Health Survey version of the Composite International Diagnostic Interview (CIDI), depression in the past 12 months was categorized into four groups: depressive episode, brief depressive episode, subsyndromal depression, and no depression. Past 12-month psychotic symptoms were assessed using four questions on positive symptoms from the CIDI. Health status across seven domains (cognition, interpersonal activities, sleep/energy, self-care, mobility, pain/discomfort, vision) and interviewer-rated presence of a mental health problem were assessed. Multivariable logistic and linear regression analyses were performed to assess the associations. Results When compared with those with no depression, individuals with depression had higher odds of reporting at least one PE, and this was seen across all levels of depression severity: subsyndromal depression [odds ratio (OR) 2.38, 95% confidence interval (CI) 2.02-2.81], brief depressive episode (OR 3.84, 95% CI 3.31-4.46) and depressive episode (OR 3.75, 95% CI 3.24-4.33). Having coexisting PEs and depression was associated with a higher risk for observable illness behavior and a significant decline in health status in the cognition, interpersonal activities and sleep/energy domains, compared with those with depression alone. Conclusions This coexistence of depression and PEs is associated with more severe social, cognitive and sleep disturbances, and more outwardly apparent illness behavior. Detecting this co-occurrence may be important for treatment planning.