Background and Purpose— Depression is known to increase stroke risk. Although limited, there is some evidence for age differences, with a suggestion for a stronger association in younger groups. We investigated the effect of depression on stroke incidence in a large cohort of midaged women. Methods— We included 10 547 women without a history of stroke aged 47 to 52 years from the Australian Longitudinal Study on Women’s Health, surveyed every 3 years from 1998 to 2010. Depression was defined at each survey using the Center for Epidemiological Studies Depression Scale (shortened version) and antidepressant use in the past month. Stroke was ascertained through self-report and mortality data. We determined the association between depression and stroke at the subsequent survey, using generalized estimating equation analysis, adjusting for time-varying covariates. Results— At each survey, ≈24% were defined as having depression. During follow-up, 177 strokes occurred. Depression was associated with a >2-fold increased odds of stroke (odds ratio, 2.41; 95% confidence interval, 1.78–3.27), which attenuated after adjusting for age, socioeconomic status, lifestyle, and physiological factors (odds ratio, 1.94; 95% confidence interval, 1.37–2.74). Findings were robust to sensitivity analyses addressing methodological issues, including definition of depression, antidepressant use, and missing covariate data. Conclusions— Depression is a strong risk factor for stroke in midaged women, with the association partially explained by lifestyle and physiological factors. Further studies of midaged and older women from the same population are needed to confirm whether depression is particularly important in younger women and to inform targeted intervention approaches.