The aim was to investigate the pattern and rate of cognitive decline across distinctive trajectories of depressive symptoms in older adults. In this prospective multinational cohort study on 69,066 participants (on average 64 years at baseline, 55% women), assessments of cognitive functions (immediate recall, delayed recall, verbal fluency) and depressive symptoms (EURO-D scale) were conducted at 2-year intervals. The trajectories of depressive symptoms were obtained using latent growth mixture modelling, cognitive decline was assessed using smoothing splines and linear mixed effects models. Four distinct trajectories of depressive symptoms were identified: constantly low (n = 49,660), constantly high (n = 2999), increasing (n = 6828) and decreasing (n = 9579). Individuals with increasing and constantly high depressive symptoms showed linear cognitive decline, while those with constantly low and decreasing depressive symptoms had fluctuating cognition. Participants with increasing depressive symptoms had the fastest decline, while those with decreasing symptoms were spared from decline in cognition. This study suggests that the pattern as well as the rate of cognitive decline co-occurs with specific patterns of changes in depressive symptoms over time. The most pronounced cognitive decline is present in individuals, in whom depressive symptoms increase late in life. Unique mechanisms of cognitive decline may exist for subgroups of the population, and are associated with the trajectory of depressive symptoms.