Background: Depression and cardiovascular diseases are two main health conditions contributing to the global disease burden. Several studies indicate a reciprocal association between them. It is still unclear how changes in overall muscle strength may impact this association. This study aimed to analyse how muscular strength moderates the relationship between cardiovascular events and depressive symptoms among middle-aged and older adults. Methods: Wave 8 of the population-based Survey of Health, Ageing, and Retirement in Europe (2019/2020) cross-sectional data, which included 41,666 participants (17,986 men) with a mean age of 70.65 (9.1) years old, was examined. Grip strength was measured twice on each hand using a dynamometer. The 12-item EURO-D scale was employed to gauge depressive symptoms. Results: Grip strength negatively moderates the link between cardiovascular events and depressive symptoms (male: B = −0.03, 95% CI = −0.04, −0.03; female: B = −0.06, 95% CI = −0.06, −0.05). Additionally, the grip strength moderation values in the significant zone for males and females were less than 63.2 kg and 48.3 kg, respectively. Conclusions: Muscular strength modifies depressive symptoms and lessens their correlation with cardiovascular diseases. Muscle-strengthening activities could be incorporated into primary and secondary preventive strategies to reduce the burden of depression in people with CVD.