Purpose: To investigate the longitudinal associations between pain and depressive symptoms in adults. Methods: Prospective cohort study on data from 28,515 community-dwelling adults ≥ 50 years, free from depression at baseline (Wave 5), with follow-up in Wave 6 of the Survey of Health, Ageing and Retirement in Europe (SHARE). Significant depressive symptoms were defined by a EURO-D score ≥ 4. The longitudinal association between baseline pain intensity and significant depressive symptoms at follow-up was analysed using logistic regression models; odds ratios (ORs) and confidence intervals (CI) were calculated, adjusting for socio-demographic and clinical factors, physical inactivity, loneliness, mobility and functional impairments. Results: Mean age was 65.4 years (standard deviation 9.0, range 50–99); 14,360 (50.4%) participants were women. Mean follow-up was 23.4 (standard deviation 3.4) months. At baseline, 2803 (9.8%) participants reported mild pain, 5253 (18.4%) moderate pain and 1431 (5.0%) severe pain. At follow-up, 3868 (13.6%) participants—1451 (10.3%) men and 2417 (16.8%) women—reported significant depressive symptoms. After adjustment, mild, moderate and severe baseline pain, versus no pain, were associated with an increased likelihood of significant depressive symptoms at follow-up: ORs (95% CI) were 1.20 (1.06–1.35), 1.32 (1.20–1.46) and 1.39 (1.19–1.63), respectively. These associations were more pronounced in men compared to women, and consistent in participants aged 50–64 years, those without mobility or functional impairment, and those without loneliness at baseline. Conclusion: Higher baseline pain intensity was longitudinally associated with a greater risk of significant depressive symptoms at 2-year follow-up, in community-dwelling adults without baseline depression.