Background: This study aimed to examine the association between frailty and depressive symptoms. Methods: Cross-sectional and five-year longitudinal study. Data were from the population-based Survey of Health, Aging, and Retirement in Europe (SHARE) waves six (2015) and eight (2020). Frailty was assessed using the SHARE-Frailty Instrument. Fatigue, appetite, walking difficulties, and physical activity were self-reported, and grip strength was measured using a handgrip dynamometer. The EURO-D 12-item scale was used to measure depressive symptoms. Results: The sample comprised 25,771 older adults (56.2% female) with a mean age of 66.5 (95% CI 66.4, 66.6) years. The prevalence of frailty was 4.2% (95% CI 3.9, 4.4) in 2015 and 6.7% (95% CI 13.5, 14.3) in 2020. Among frail participants, 72.5% and 69.6% had depression in 2015 and 2020, respectively. Frailty was associated with depression over the 5 years. Those with pre-frailty and those with frailty in 2015 had 1.86 (95% CI 1.71, 2.01) and 2.46 (95% CI 2.14, 2.83) greater odds of having depressive symptoms in 2020. Conclusions: Frailty is a predictor of depression in older adults, and frail participants had greater odds of presenting depressive symptoms.