Frailty and depression are important issues affecting older adults. Depressive syndrome may be difficult to clinically disambiguate from frailty in advanced old age. Current reviews on the topic include studies with wide methodological variation. This review examined the published literature on cross-sectional and longitudinal associations between frailty and depressive symptomatology with either syndrome as the outcome, moderators of this relationship, construct overlap, and related medical and behavioral interventions. Prevalence of both was reported. A systematic review of studies published from 2000 to 2015 was conducted in PubMed, the Cochrane Database of Systematic Reviews, and PsychInfo. Key search terms were “frailty”, “frail”, “frail elderly”, “depressive”, “depressive disorder”, and “depression”. Participants of included studies were ≥55 years old and community dwelling. Included studies used an explicit biological definition of frailty based on Fried et al’s criteria and a screening measure to identify depressive symptomatology. Fourteen studies met the inclusion/exclusion criteria. The prevalence of depressive symptomatology, frailty, or their co-occurrence was greater than 10% in older adults ≥55 years old, and these rates varied widely, but less in large epidemiological studies of incident frailty. The prospective relationship between depressive symptomatology and increased risk of incident frailty was robust, while the opposite relationship was less conclusive. The presence of comorbidities that interact with depressive symptomatology increased incident frailty risk. Measurement variability of depressive symptomatology and inclusion of older adults who are severely depressed, have cognitive impairment or dementia, or stroke may confound the frailty syndrome with single disease outcomes, accounting for a substantial proportion of shared variance in the syndromes. Further study is needed to identify medical and behavioral interventions for frailty and depressive symptomatology that prevent adverse sequelae such as falls, disability, and premature mortality.