Objectives: To investigate whether lifestyle indicators including physical exercise, sleep duration, alcohol use, body mass index, smoking status, and a composite lifestyle index are associated with the depression course in older adults. Methods: Data of 283 older adults were used from the Netherlands Study of Depression in Older Persons. Depressive disorders at baseline were assessed with the Composite International Diagnostic Interview. The depression course at 2-year follow-up was assessed with the Inventory of Depressive Symptoms (IDS, score 0–84) every 6 months; physical exercise with the International Physical Activity Questionnaire; alcohol use with the Alcohol Use Disorders Identification Test; body mass index by anthropometry; and sleep duration and smoking status by interview questions. A composite lifestyle index was calculated by summing scores assigned to each lifestyle factor, with a higher score indicating healthier behavior. Results: Of all participants, 61.1% had chronic depression (all IDS scores 14–84), 20.1% had intermittent depression (1 IDS score ≤ 14), and 18.7% remitted depression (last 2 IDS scores ≤14). None of the investigated lifestyle indicators, nor the composite lifestyle index was associated with depression course, after adjustment for covariates. Conclusions: Lifestyle factors do not predict the course of depression at 2-year follow-up in older adults.