The temporal relationship between depression and cognitive decline has not been extensively investigated in prospective population-based studies, and most of these have only looked in one direction. We estimated the bidirectional temporal relationship between depressive symptoms and cognitive function in older subjects, excluding subjects with a clinical diagnosis of dementia or mild cognitive impairment (MCI). In a total of 2,963 individuals from the Italian Longitudinal Study on Aging, depressive symptoms, global cognitive function, and episodic memory were measured. Dementia, Alzheimer's disease, vascular dementia, and MCI were classified using current clinical criteria. Depressive symptoms at baseline were associated with an accelerated global cognitive function decline and an accelerated rate of episodic memory delayed recall decline in a 3.5-year follow-up. Finally, an accelerated increase with time of depressive symptoms during the same follow-up period was not associated with global cognitive function and episodic memory (immediate and delayed recall). In older subjects non-cognitively impaired, depressive symptoms at baseline predicted change over time of global cognitive decline and episodic memory delayed recall. Global cognitive function and episodic memory at baseline were not associated with the course of depressive symptoms during the follow-up.