Depression is one of the major causes of disability worldwide, but the complete etiology of depression is not fully understood. Dehydroepiandrosterone (DHEA) and its sulphated form DHEA(S) have been associated with mood and healthy aging. Associations with mental illness over the middle to late years of life have not yet been extensively investigated in large, western community-dwelling samples. The aim of this study was to investigate whether low DHEA(S) levels are associated with the development of depressive symptoms in a large longitudinal cohort study of older men and women. We assessed data from English Longitudinal Study of Aging (ELSA) to evaluate the association of DHEA(S) levels and depressive symptoms measured by Center for Epidemiologic Studies Scale (CES-D) at baseline (n=3083) and at 4-year follow-up (n=3009). At baseline, there was an inverse association between DHEA(S) and depressive symptoms (B=−0.252, p=0.014). Adjustments for physical illnesses, impairments in cognitive function and health behaviors abolished this association (p=0.109) at baseline. Decreased DHEA(S) levels at baseline also predicted incident depression at 4-year follow-up (B=−0.332, p<0.001). In conclusion, higher DHEA(S) levels were associated with reduced risk of developing depressive symptoms in both men and women.