Aim Cognitive impairment and functional deterioration are common in later life and often co‐occur with depressive symptoms (DS). This study aims to examine the individual effects and possible interaction between worsening cognitive function (CF) and deteriorating functional status (FS) on DS using large sample, longitudinal data. Methods Elderly people who completed the baseline survey of China Health and Retirement Longitudinal Study (CHARLS 2011) and the third wave survey (2015) were included. A multivariable logistic regression model was used to assess the individual effects. The relative excess risk due to interaction (RERI), the attributable proportion due to interaction (AP) and synergy index (SI) were calculated to evaluate the additive interaction. Results Worsening CF and deteriorating FS were associated with the increase in DS, while unchanged or improved CF and FS were associated with the decrease in DS. In addition, decreased (increased) FS led to more severe (improved) DS than decreased (increased) CF. The additive interaction between worsening CF and deteriorating FS on the increase in DS was significant. The estimates and 95% CI of the RERI, AP and SI were 0.626 (0.061, 1.190), 0.222 (0.042, 0.402) and 1.526 (1.016, 2.291) respectively. Conclusions Both worsening CF and deteriorating FS have positive interactions with the increase in DS. It is vital to focus on DS of elderly people with worsening CF and/or FS and to adopt interventions. Geriatr Gerontol Int 2020; 20: 343–347.