Muscular strength is a modifiable protective factor for mental health across aging populations. Evidence of sex-related differences in its associations with mental health is limited. Therefore, the purpose of this study was to examine sex-related differences in cross-sectional and prospective associations between grip strength and depressive symptoms and status. Participants were community dwelling adults (N = 4505; 56.5% female), aged ≥50 years. As a measure of muscular strength, grip strength (kg) of the dominant hand was assessed using a hand-held dynamometer at baseline. Participants were divided into sex-specific tertiles. The Center for Epidemiological Studies Depression Scale assessed depressive symptoms at baseline and two years later; a score of ≥16 defined caseness of depression. Depressive symptoms were significantly higher among females at baseline (p < 0.001). Prospective models were adjusted for age, sex, waist circumference, social class, smoking, and health status. Among males, the middle and high strength tertiles were non-significantly associated with 32.9% (p = 0.21) and 9.9% (p = 0.74) reduced odds of developing depression, respectively. Among females, the middle and high strength tertiles were non-significantly associated with 28.5% (p = 0.13) and significantly associated with 43.4% (p = 0.01) reduced odds of developing depression, respectively. In the total sample, the middle and high strength tertiles were significantly associated with 31.5% (p = 0.04) and 34.1% (p = 0.02) reduced odds of developing depression, respectively. The interaction between sex and strength was not statistically significant (p = 0.25). The present findings indicated that grip strength was inversely associated with incident depression in older adults, with stronger associations observed among females than males.