The COVID-19 pandemic and accompanying public health measures have exacerbated many risk factors for depression in older adulthood. The objectives of the current study are: (1) to determine the risk of incident and recurrent depression during the COVID-19 pandemic among those with, or without, a history of depression; and (2) to identify factors that were predictive of depression in these two groups. The study population included 22,622 participants of the Canadian Longitudinal Study on Aging who provided data at baseline (2011–2015), follow-up (2015–2018), and twice during the pandemic (April–May 2020, September–December 2020). The Center for Epidemiologic Studies Depression Scale (CES-D-10) was used to classify individuals with depression. Logistic regression was used to estimate the odds of depression during COVID across a series of risk factors. Individuals with a history of depression had four times the risk of depression during the pandemic when compared to those without a history of depression, even after controlling for relevant covariates. Other factors associated with depression during the pandemic include being female, having fewer savings, and experiencing COVID-19 related stressors, such as health stressors, difficulties accessing resources, and family conflict. Clinicians working with older adults should consider interventions to support high-risk groups, such as those with recurrent depression.