Objectives: Depressive symptoms and low vitamin D status are common in older persons and may be associated, but findings are inconsistent. This study investigated whether 25-hydroxyvitamin D (25(OH)D) concentrations are associated with depressive symptoms in older adults, both cross-sectionally and longitudinally. We also examined whether physical functioning could explain this relationship, to gain a better understanding of the underlying mechanisms. Methods: Data from two independent prospective cohorts of the Longitudinal Aging Study Amsterdam were used: an older cohort (≥65 years, n = 1282, assessed from 1995–2002) and a younger-old cohort (55–65 years, n = 737, assessed from 2002–2009). Measurements: Depressive symptoms were measured at baseline and after 3 and 6 years with the Center of Epidemiological Studies Depression Scale. Cross-sectional and longitudinal linear regression techniques were used to examine the relationship between 25(OH)D and depressive symptoms. The mediating role of physical functioning was examined in the longitudinal models. Results: Cross-sectionally, associations were not significant after adjustment for confounders. Longitudinally, women in the older cohort with baseline 25(OH)D concentrations up to 75 nmol/L experienced 175 to 24% more depressive symptoms in the following 6 years, compared with women with 25(OH)D concentrations >75 nmol/L. Reduced physical performance partially mediated this relationship. In men and in the younger-old cohort, no significant associations were observed. Conclusions: Older women showed an inverse relationship between 25(OH)D and depressive symptoms over time, which may partially be explained by declining physical functioning. Replication of these findings by future studies is needed.