Objectives: Despite detrimental effects of depressive symptoms on self-care and health, hospital discharge practices and the benefits of different discharge settings are poorly understood in the context of depression. Methods: This retrospective cohort study comprised 23,485 hospitalizations from Medicare claims linked to the Health and Retirement Study (2000–2014). Results: Respondents with depressive symptoms were no more likely to be referred to home health, whereas the probability of discharge to skilled nursing facilities (SNFs) went up a half percentage point with each increasing symptom, even after adjusting for family support and health. Rehabilitation in SNFs, compared to routine discharges home, reduced the positive association between depressive symptoms and 30-day hospital readmissions (OR = 0.95, p = 0.029) but did not prevent 30-day falls, 1-year falls, or 1-year mortality associated with depressive symptoms. Discussion: Depressive symptoms were associated with discharges to SNFs, but SNFs do not appear to address depressive symptoms to enhance functioning and survival.