Prevalence of depressive symptoms is lower in communities with greater social capital (SC). However, it is unclear whether a prevalence of depressive symptoms will decrease in communities where SC has increased. We investigated the relationship between the changes in municipality-level SC and depressive symptoms by using 5-year repeated cross-sectional data from the Japan Gerontological Evaluation Study. In 2010 and 2016, self-reported questionnaires were mailed to functionally independent residents aged 65 years or older living in 44 municipalities; valid responses were received from 72,718 and 84,211 people in 2010 and 2016, respectively. All scores were aggregated at the municipality level. The dependent variable was the change in the prevalence of depressive symptoms that were diagnosed with a 15-item Geriatric Depression Scale. Independent variables were the score of change in health-related SC indicators, e.g., social participation, social cohesion, and reciprocity. A multiple regression analysis was employed. The average prevalence of depressive symptoms decreased from 28.6% in 2010 to 21.3% in 2016. The increases in the percentages of sports group participation (B, −0.356), and reciprocity scores (B, −0.597) were significantly associated with the decrease in the prevalence of depressive symptoms after adjusting for potential confounding variables. Our findings suggest that community SC might be an intervention for protecting depressive symptoms in municipalities.