We examined reciprocal, time-ordered associations between age-related changes in fluid intelligence and depressive symptoms. Participants were 1,091 community-dwelling older adults from the Lothian Birth Cohort 1936 study who were assessed repeatedly at 3-year intervals between the ages of 70 and 79 years. On average, fluid intelligence and depressive symptoms worsened with age. There was also a dynamic-coupling effect, in which low fluid intelligence at a given age predicted increasing depressive symptoms across the following 3-year interval, whereas the converse did not hold. Model comparisons showed that this coupling parameter significantly improved overall fit and had a correspondingly moderately strong effect size, accounting on average for an accumulated 0.9 standard-deviation increase in depressive symptoms, following lower cognitive performance, across the observed age range. Adjustment for sociodemographic and health-related covariates did not significantly attenuate this association. This implies that monitoring for cognitive decrements in later life may expedite interventions to reduce related increases in depression risk.