Objective: The aim of this study was to examine the concurrent effects of vital exhaustion and depression on the development of cardiovascular disease (CVD) morbidity. Method: The sample of this representative, 4-year longitudinal study comprised 2,725 participants (43.56% male, Mage = 58.39 years, SDage = 14.39 years). Individuals being treated for hypertension (n = 277) and cardio- and/or cerebrovascular incidents (n = 131) for the first time during the follow-up period were compared with participants never treated for CVD (n = 2,317). Joint principal component analysis was conducted on the items of the vital exhaustion (shortened Maastricht Questionnaire) and depression (shortened Beck Depression Inventory) measures simultaneously resulting in 3 components representing depression, vital exhaustion, and sleep difficulties. The role of these 3 components in predicting the incidence of CVD morbidity was examined using logistic regression—controlling for traditional risk factors such as sex, age, education, body mass index, smoking, alcohol use, and physical inactivity. Results: In the multivariate analyses, vital exhaustion (OR = 1.20, CI = 1.03–1.39, p = .021) and sleep-related problem (OR = 1.16, CI = 1.00–1.33, p = .044) scores proved to be independent predictors of treatment initiation for hypertension, while sleep-related difficulties predicted CVD event incidence (OR = 1.27, CI = 1.06–1.52, p = .009). However, depressive symptomatology factor scores were not associated with either cardiovascular outcome in the regression analyses. Conclusions: Vital exhaustion and depressive symptomatology showed a different pattern in their relationship with CVD incidence, with vital exhaustion being the more robust predictor. These results suggest that the 2 constructs are not identical and that vital exhaustion deserves consideration when planning and implementing interventions to reduce CVD risk.