Chronic lung diseases (CLDs) can reduce patients’ quality of life. However, evidence for the relationship between CLD and occurrence with depressive symptoms remains unclear. This study aims to determine the associations between CLD and depressive symptoms incidence, using the data from the China Health and Retirement Longitudinal Study (CHARLS). CLD was identified via survey questionnaire and hospitalization. The follow-up survey was conducted in 2018 and depressive symptoms were assessed by the 10-item Center for Epidemiological Studies Depression Scale (CES-D-10). A total of 10,508 participants were studied with an average follow-up period of 3 years. A total of 2706 patients (25.8%) with newly diagnosed depressive symptoms were identified. The standardized incidence rate of depressive symptoms in baseline population with and without chronic pulmonary disease was 11.9/100 and 8.3/100 person-years, respectively. The Cox proportional risk model showed that CLD was a significant predictor of depressive symptoms (HR: 1.449, 95% CI: 1.235–1.700) after adjusting for covariates, and the HRs of depressive symptoms were higher in those participants with current smoking (HR: 1.761, 95% CI: 1.319–2.352), men (HR: 1.529, 95% CI: 1.236–1.892), living in rural areas (HR: 1.671, 95% CI: 1.229–2.272), with dyslipidemia (HR: 1.896, 95% CI: 1.180–3.045), and suffering from comorbidity (HR: 1.518, 95% CI: 1.104–2.087) at baseline survey. CLD was an independent risk factor of depressive symptoms in China. The mental health of CLD patients deserves more attention.