Depression prevention requires identifying key risk contributors. Prior studies have identified several factors related to late-life depression but have seldom addressed factors jointly or in dose-response fashion. This study aimed to examine a wide range of potential predisposing factors and to estimate individual and joint contributions to risk of late-life depression in women. A total of 21,728 women aged ≥65 years, without prior depression, in the Nurses’ Health Study conducted in the United States were followed from 2000–2010. Demographic, social, lifestyle/behavioral and health variables were selected a priori from the literature or previous findings in this cohort. Depression was defined as physician/clinician-diagnosed depression, regular antidepressant use, or the presence of severe depressive symptoms. During 10-year follow-up, 3,945 incident cases were identified. After simultaneous multivariable-adjustment, multiple factors in the domains of social stress (lower self-rated societal position and high volume of caregiving to disabled/ill relatives), unfavorable lifestyle (smoking, physical inactivity, heavy or binge drinking), and poor physical health (multiple comorbidity burden, excessive sleep, difficulty falling/staying asleep, bodily pain, and physical/functional limitation or disability) were significantly associated with higher depression risk; many featured dose-response relationships. Sensitivity analyses that excluded outcomes within 2 years yielded similar estimates. The total population attributable fraction for all factors was 55.5%. Physical/functional limitation accounted for one-quarter of population attributable fraction, followed by problematic sleep, inadequate exercise, and pain (combining for one-third of population attributable fraction). Efforts to remediate or prevent these factors may contribute to an efficient strategy for late-life depression prevention in women.