This study tested whether history of depression is associated with an increased likelihood of dementia, and whether a first depressive episode earlier in life is associated with increased dementia risk, or whether only depressive episodes close in time to dementia onset are related to dementia. Depression information came from national hospital discharge registries, medical history, and medical records. Dementia was diagnosed clinically. In case-control results, individuals with recent registry-identified depression were 3.9 times more likely than those with no registry-identified depression history to have dementia, whereas registry-identified depression earlier in life was not associated with dementia risk. Each 1-year increase in time between depression onset and dementia onset or equivalent age decreased the likelihood of dementia by 8.4%. In co-twin control analyses, twins with prior depression were 3.0 times more likely to have dementia than their nondepressed twin partners, with a similar age of depression gradient. These findings suggest that after partially controlling for genetic influences, late-life depression for many individuals may be a prodrome rather than a risk factor for dementia.