Associations between androgens and depressive symptoms were mostly reported from cross-sectional and patient-based studies. Longitudinal data from 4,110 participants of the Study of Health in Pomerania were used to assess sex-specific associations of baseline total and free testosterone, androstenedione and sex hormone-binding globulin with incident depressive symptoms and cognitive status at 5- and 10-year follow-up. Despite sex-specific differences in depressive symptoms prevalence at baseline (women: 17.4%, men: 8.1%), cross-sectional analyses showed no associations between sex hormones and depressive symptoms. In age-adjusted longitudinal analyses, total testosterone was associated with incident depressive symptoms (relative risk at 5-year follow-up: 0.73, 95% confidence interval: 0.58-0.92). Similarly, age-adjusted analyses showed a positive association between sex hormone-binding globulin and cognitive status in men (β-coefficient per standard deviation: 0.44, 95% confidence interval: 0.13-0.74). In women, age-adjusted associations of androstenedione with baseline depressive symptoms (relative risk: 0.88, 95% confidence interval: 0.77-0.99) were found. None of the observed associations remained after multivariable adjustment. The present population-based, longitudinal study revealed inverse associations between sex hormones and depressive symptoms. However, the null finding after multivariable adjustment suggests, that the observed associations were not independent of relevant confounders including body mass index, smoking and physical inactivity. Furthermore, the low number of incident endpoints in our non-clinical population-based sample limited the statistical power and reduced the chance to detect a statistically significant effect.