Objectives: While vitamin D is involved in frailty as well as depression, hardly any study has examined the course of vitamin D levels prospectively. The objective of this study is to examine whether a change of vitamin D in depressed older adults is associated with either depression course, course of frailty, or both. Methods: The study population consisted of 232 of 378 older adults (60–93 years) with a DSM-IV defined depressive disorder participating in the Netherlands Study of Depression in Older persons, a prospective clinical cohort study. Baseline and 2-year follow-up data on depressive disorder (DSM-IV diagnosis), symptom severity (inventory of depressive symptoms), frailty phenotype (and its individual components) and vitamin D levels were obtained. Linear mixed models were used to study the association of change in vitamin D levels with depression course, course of frailty, and the combination. Results: Vitamin D levels decreased from baseline to follow-up, independent from depression course. An increase in frailty was associated with a significantly sharper decrease of vitamin D levels over time. Post hoc analyses showed that this association with frailty might be driven by an increase of exhaustion over time and counteracted by an increase in walking speed. Conclusions: Our findings generate the hypothesis that vitamin D supplementation in late-life depression may improve frailty, which may partly explain inconsistent findings of randomised controlled trials evaluating the effect of vitamin D for depression. We advocate to consider frailty (components) as an outcome in future supplementation trials in late-life depression.