OBJECTIVES: To estimate the predictive relationship between depressive symptoms and 8‐year dementia incidence in a large prospective community sample of French older adults and to compare the effect magnitude for men and women. DESIGN: Prospective population‐based cohort with four interview waves and complete vital status ascertainment. SETTING: Urban and rural communities in the Aquitaine Region (Gironde and Dordogne), southwest France. PARTICIPANTS: Three thousand seven hundred seventy‐seven adults aged 65 and older residing in noninstitutional settings at study baseline. MEASUREMENTS: Each participant was interviewed by a neuropsychologist and screened for dementia with the Mini‐Mental State Examination, a cognitive test battery, and a standardized questionnaire designed to ascertain the presence of the criteria for dementia according to the Diagnostic and Statistical Manual for Mental Disorders, Third Edition, Revised (DSM‐III‐R). Dementia status and subtype were confirmed using neurological examination and categorized according to DSM‐III‐R criteria for dementia and the National Institute of Neurological Disorders and Stroke/Alzheimer's and Related Disorders Association criteria. The Hachinski score was calculated to specify the etiology: possible or probable Alzheimer's disease, vascular dementia, and other types of dementia. Depressive symptomatology was evaluated using the Center for Epidemiologic Studies—Depression scale. Statistical analyses were weighted to correct for attrition not due to mortality. RESULTS: Ninety‐seven men (incidence rate: 14.4/1,000) and 183 women (Incidence rate: 19.0/1,000) developed dementia during 8 years of follow‐up. Baseline prevalence of depressive symptomatology was 12.9% for men and 14.7% for women. Depressive symptoms increased risk of dementia at subsequent interview wave, but only for men (odds ratio (OR) (men) = 3.5, 95% confidence interval (CI) = 1.9–6.5; OR (women) = 1.2, 95% CI = 0.7–2.0, P‐value for sex difference = 0.03). The hypothesis that vascular depression might explain the observed sex difference was studied, and it was found that risk was 50% higher for men with hypertension who were depressed than for normotensive men. For women, hypertension status did not modify the absence of an association. CONCLUSION: This study supports the hypothesis of a relationship between proximal depressive symptomatology and dementia in men, but distant depression did not increase dementia risk in this sample. The results suggest that depression in older men might reflect a form of vascular depression associated with cerebral vascular pathology or multiinfarct disease that may amplify the dementing or declining process, hence accelerating the onset of manifest symptoms of dementia.