Late-life depression is a condition that affects an ever-growing share of the population in ageing societies. While depression prevalence varies across countries for a myriad of reasons, generational factors, expressed in the shared experience of birth cohorts, may also play a part in such differentials. This paper describes the presence of age, period, and cohort (APC) effects in late-life depression prevalence trends (for adults aged 50 and above) for selected countries in Europe, using the Survey of Health and Ageing and Retirement of Europe (SHARE). We analysed six countries during the 2004–2016 period: Denmark, Sweden, and Germany, with a lower baseline prevalence, and Italy, Spain, and France, with a higher baseline prevalence. By applying a set of APC statistical models to visualise linear and nonlinear effects, we found that all countries followed a J-shaped curve when describing the transversal and longitudinal age trajectories of late-life depression. We also found a combination of nonlinear effects present in Germany, France and Sweden in males, indicating that younger male cohorts had a higher relative risk of depression. In females, we found nonlinear cohort effects, indicating that younger and older cohorts presented a higher risk of depression in Sweden and Germany and a lower risk in Spain. The presence of an increased risk for younger male cohorts may be indicative of a new trend in some countries, which may reduce the sex gap in prevalence. Future analysis should focus on the causes and mechanisms that lead to differential risks across cohorts.