AbstractCross-sectional studies have demonstrated strong associations between physical frailty and depression. However, the evidence from prospective studies is limited. Here, we analyze data of 352,277 participants from UK Biobank with 12.25-year follow-up. Compared with non-frail individuals, pre-frail and frail individuals have increased risk for incident depression independent of many putative confounds. Altogether, pre-frail and frail individuals account for 20.58% and 13.16% of depression cases by population attributable fraction analyses. Higher risks are observed in males and individuals younger than 65 years than their counterparts. Mendelian randomization analyses support a potential causal effect of frailty on depression. Associations are also observed between inflammatory markers, brain volumes, and incident depression. Moreover, these regional brain volumes and three inflammatory markers—C-reactive protein, neutrophils, and leukocytes—significantly mediate associations between frailty and depression. Given the scarcity of curative treatment for depression and the high disease burden, identifying potential modifiable risk factors of depression, such as frailty, is needed.