Abstract Aims Although depressive symptoms are highly prevalent in patients receiving oral anticoagulation (OAC), the relevance of depression for the outcome of anticoagulated individuals is unknown. Methods and results We analysed data from the multicentre cohort study thrombEVAL (NCT01809015) investigating the efficacy of OAC with vitamin K antagonists. There was an independent study monitoring, and an independent review panel assessed the endpoints. Out of n = 1558 participants, information about depressive symptoms, as measured by the two-item screener of the patient health questionnaire (PHQ-2), was available in n = 1405 individuals. The mean follow-up period was 28.04 months, with a standard deviation of 11.52 months. In multivariable Cox regression analysis, baseline PHQ-2 sum score was a strong and robust predictor of clinically relevant bleeding [hazard ratio (HR) 1.13, 95% confidence interval 1.03–1.24; P = 0.011] and all-cause mortality (HR 1.18, 1.08–1.28; P = 0.001) independent of age, sex, high school graduation, partnership, clinical profile, intake of serotonin reuptake inhibitors, and quality of OAC therapy. Individuals with clinically significant depressive symptoms (PHQ-2 ≥ 3) had a 57% increased risk for clinically relevant bleeding (fully adjusted HR 1.57, 1.08–2.28) and 54% greater risk for death (fully adjusted HR 1.54, 1.09–2.17). There was no association of depressive symptoms with thromboembolic events. For hospitalization, individuals with depressive symptoms (PHQ-2 ≥ 3) did not experience an elevated risk in the fully adjusted model (HR 1.08, 0.86–1.35; P = 0.52). Conclusion Assessment of depression by the PHQ-2 provided independent long-term prognostic information beyond common biomedical risk factors. These findings highlight the need for targeting depressive symptoms in the management of patients receiving OAC therapy.