OBJECTIVE The extent to which abnormal glucose metabolism increases the risk of depression remains unclear. In this study, we investigated prospective associations of levels of fasting glucose and fasting insulin and indices of insulin resistance and secretion with subsequent new-onset depressive symptoms (DepS). RESEARCH DESIGN AND METHODS In this prospective cohort study of 3,145 adults from the Whitehall II Study (23.5% women, aged 60.6 ± 5.9 years), baseline examination included fasting glucose and insulin level, the homeostasis model assessment of insulin resistance (HOMA2-%IR), and the homeostasis model assessment of β-cell insulin secretion (HOMA2-%B). DepS (Center for Epidemiologic Studies Depression Scale ≥16 or use of antidepressive drugs) were assessed at baseline and at 5-year follow-up. RESULTS Over the 5-year follow-up, DepS developed in 142 men and 84 women. Women in the lowest quintile of insulin secretion (HOMA2-%B ≤55.3%) had 2.18 (95% CI 1.25–3.78) times higher odds of developing DepS than those with higher insulin secretion. This association was not accounted for by inflammatory markers, cortisol secretion, or menopausal status and hormone replacement therapy. Fasting insulin measures were not associated with DepS in men, and fasting glucose measures were not associated with new-onset DepS in either sex. CONCLUSIONS Low insulin secretion appears to be a risk factor for DepS in middle-aged women, although further work is required to confirm this finding.