Total white blood cell count (TWBCC) and percentage (%) composition of lymphocytes (PL) or neutrophils (PN) are linked to mid- and late-life depression, though sex-specific temporal relationships between those inflammatory markers and depressive symptoms remain unclear. The association between inflammation and depressive symptoms in longitudinal data on ethnically and socioeconomically diverse urban adults was examined with two hypotheses. In hypothesis 1, we examined the relationship between TWBCC, PL and PN with change in level of depressive symptoms from baseline to follow-up, stratifying by sex. In hypothesis 2, we examined reverse causality, by testing the relationship of depressive symptoms with change in TWBCC, PL and PN. Multiple linear mixed-effects regression models were performed to examine both the hypotheses. The sample sizes of participants (n) and repeated observations (n') were: Hypothesis 1 (n=2009; n'=3501); Hypothesis 2 (n=2081; n'=3560). Among key findings (Hypothesis 1), in women, higher TWBCC was linked to a faster increase in depressive symptom total score (γ1112±s.e.: +0.81±0.28, P=0.003), with a slower increase over time in the positive affect subdomain coupled with faster increases in depressed affect and somatic complaints. Among women, baseline score on somatic complaints was positively associated with low PN (γ01a=+1.61±0.48, P<0.001) and high PL (γ01a=+1.16±0.45, P=0.011), whereas baseline score on positive affect was inversely related to higher PL (γ01a=−0.69±0.28, P=0.017). Results among men indicated that there was a positive cross-sectional relationship between low TWBCC and depressive symptoms, depressed affect and an inverse cross-sectional relationship with positive affect. However, over time, a low TWBCC in men was linked to a higher score on positive affect. There was no evidence of a bi-directional relationship between WBC parameters and depressive symptoms (Hypothesis 2). In sum, TWBCC and related markers were linked to depressive symptoms, mostly among women. Further longitudinal studies are needed to replicate this sex-specific association.