Objective: Mental Health Literacy (MHL) might play an important role in preventing depression. This study assessed the MHL level for depression of university students and its association with intentions toward preventive actions against depression. Participants: University students (n = 315) were surveyed online. Methods: MHL level and group differences were analyzed using t-tests and one-way ANOVA. To investigate the relation between MHL and the intention for preventive actions against depression, correlation and regression analyses were performed. Results: The mean MHL level of the participants was reasonably high (42.65 of 75 points). MHL levels differed significantly between different groups. MHL was slightly associated with intention for preventive actions (beta = 0.274, p < 0.001). The explained variance was low (7.5%). Conclusions: MHL levels of university students have potential for improvement, especially among males and non-health related students. Promotion of MHL could be one of the targets points in interventions aimed at depression prevention.