This study investigated whether inflammation may explain the relationship between depression and incident cardiovascular hospitalisations. Participants (55-85 years) completed baseline depression and physical assessment. Those without self-reported cardiovascular events were followed prospectively for hospital admissions for angina, myocardial infarction and cerebral infarction (median 937 days). Across 5140 person-years of risk (N = 1692), there were 47 incident cardiovascular hospitalisations (2.8 %). Controlling for age and gender, interleukin (IL)-6, C-reactive protein (CRP), body mass index (BMI) and waist-to-hip ratio were associated with future cardiovascular events. Mediation analysis showed that CRP accounted for 8.1 % and IL-6 10.9 % of the effect of depression on cardiovascular events, and including the indirect effect in the model substantially reduced the direct relationship between depression and cardiovascular hospitalisations. BMI and waist-to-hip ratio accounted for indirect effects of 7.7 and 10.4 %, respectively. Inflammatory markers partly explain the association between depression and cardiovascular events, although other shared factors also likely contribute.