The association between inflammation and neuropsychiatric symptoms in old age is generally accepted but poorly understood. The purpose of this study was to examine whether inflammation precedes depressive symptoms and cognitive decline in old age, and to identify specific inflammatory pathways herein. We measured serum C-reactive protein (CRP) and lipopolysaccharide-induced production of Interleukin (IL)-1β, IL-6, Tumor Necrosis Factor (TNF)-α, IL-1 receptor antagonist (ra), and IL-10 levels in 85-year-old participants free from neuropsychiatric symptoms at baseline (n = 267). Participants were prospectively followed for depressive symptoms (Geriatric Depression Scale) and cognitive functioning (Mini Mental State Examination) from 85 to 90 years. Higher baseline CRP levels preceded accelerated increase in depressive symptoms (p < 0.001). A higher production capacity of the pro-inflammatory cytokine IL-1β preceded a greater increase of depressive symptoms (p = 0.06), whereas that of its natural antagonist IL-1ra preceded a smaller increase of depressive symptoms (p = 0.003). There was no relation of CRP, IL-1β, and IL-1ra with cognitive decline. Our findings show that in old age inflammatory processes contribute to the development of depressive symptoms but not cognitive decline. A high innate IL-1ra to IL-1β production capacity reflects a better ability to neutralize inflammation and may therefore protect against depressive symptoms.