Studies worldwide have highlighted the acute and long-term depressive impacts of psychosocial stressors due to the 2019 coronavirus disease (COVID-19) pandemic, particularly in low- and middle-income countries. Among the wide range of risk factors for depression that transpired during pandemic, greater perceptions of individual vulnerability to the COVID-19 have emerged as a major predictor of increased depressive risk and severity in adults. We estimated the extent to which COVID-19 risk perceptions affected adult depressive symptoms in a longitudinal, nationally representative sample in South Africa. We used covariate balanced propensity scores to minimize the bias from treatment assignment to estimate average causal effects of COVID-19 risk perceptions. The point prevalence of perceived COVID-19 infection risk increased between the third and fifth months of the pandemic, which corresponded with elevations in national COVID-19 infection rates. Approximately 33% of adults met or surpassed the PHQ-2 cut-off score of 2. An increase in perceived risk of COVID-19 infection predicted worse depressive symptoms in adults four months later. Our findings highlight the widespread mental health burdens of the COVID-19 pandemic and emphasize the importance of greater psychological resources and structural changes to promote equitable access to COVID-19 risk mitigation policies.