The present study examines the relationships between changes in bonding and bridging types of social capital and depressive states among middle-aged adults in Japan using a nationally representative sample. Data was collected from a nationwide, population-based survey conducted from 2005 to 2013 in nine annual waves. A total of 16,737 middle-aged men and 17,768 middle-aged women provided data. They reported about depressive states, measured by Kessler 6 scores, and bonding and bridging types of social capital, measured by reported participation in different social activities. Latent growth modeling was conducted to examine relations between changes in bonding and bridging types of social capital and depressive states within individuals across the nine waves. The results showed that, for both men and women, increases in bonding social capital were associated with decreases in depressive states, while changes in bridging social capital were not related to changes in depressive states. In addition, the results showed that changes in bonding social capital, but not bonding social capital at the baseline, affected changes in depressive states. Future studies should take changes in social capital as an independent variable into consideration.