Accumulating research has described cognitive impairment in adults with depression, however, few studies have focused on this relationship during older adulthood. Our cross-sectional study investigated the association between cognitive function performance and clinically significant depression symptoms in older adults. We analysed the data from the 2011 to 2014 National Health and Nutrition Examination Survey on older (aged 60 years and above) US adults. Cognitive function was assessed as a composite score and on a test-by-test basis based on the Consortium to Establish a Registry for Alzheimer’s Disease Word List Learning Test, the Word List Recall Test, and Intrusion Word Count Test, the Animal Fluency Test, and the Digit Symbol Substitution Test (DSST). Depression was defined as clinically significant depression symptoms based on the standard cut-off point of the Patient Health Questionnaire-9 (PHQ-9) score of 10 or greater. Adjusted-logistic regression analysis was employed using survey weights to examine the former relationships. Sociodemographic factors, in addition to medical history and status in terms of self-reported chronic illness and the incidence of stroke or memory–cognitive function loss, were considered as covariates. Among 1622 participants of a survey-weighted 860,400 US older adults, cognitive performance was associated with clinically significant depression symptoms (p = 0.003) after adjustment. Most prominently, older adults with significant cognitive deficits had approximately two and a half times (OR: 2.457 [1.219–4.953]) higher odds for a PHQ-9 score above threshold compared to those with the highest performance. Particularly, those with lowest DSST score had increased odds of almost four times (OR: 3.824 [1.069–13.678]). Efforts to decipher the underlying aetiology of these negative disparities may help create opportunities and interventions that could alleviate the risks from depression, cognitive impairment, and associated consequences in older adults at a population level.