The present study pooled the prevalence of sleep disturbances and depression in community-dwelling older adults (mean age ≥ 60 years) and quantified the strength of evidence of the relationship between these two problems. From 23 cross-sectional studies and five sets of baseline data, a high pooled prevalence of sleep disturbances (30.5%), depressive symptoms (18.1%) and coexisting disorders (10.6%) were found. In the 23 cohort studies, self-reported sleep disturbances increased the risk of the onset of depression (relative risk [RR] = 1.92). Persistent sleep disturbances increased the risk of the development (RR = 3.90), recurrence (RR = 7.70), and worsening (RR = 1.46) of depression in older adults. Little support was found for a predictive role for objective sleep characteristics in the development of depression. Older adults with depression had a higher risk of developing (RR = 1.72) and worsening (RR = 1.73) symptoms of sleep disturbances. This review emphasizes the importance of timely interventions in incipient sleep disturbances and depression among older adults, preventing the development of more serious comorbidities.