Dyslipidemia has been associated with depression, but individual lipid species associated with depression remain largely unknown. The temporal relationship between lipid metabolism and the development of depression also remains to be determined. We studied 3721 fasting plasma samples from 1978 American Indians attending two exams (2001-2003, 2006-2009, mean ~5.5 years apart) in the Strong Heart Family Study. Plasma lipids were repeatedly measured by untargeted liquid chromatography-mass spectrometry (LC-MS). Depressive symptoms were assessed using the 20-item Center for Epidemiologic Studies for Depression (CES-D). Participants at risk for depression were defined as total CES-D score ≥16. Generalized estimating equation (GEE) was used to examine the associations of lipid species with incident or prevalent depression, adjusting for covariates. The associations between changes in lipids and changes in depressive symptoms were additionally adjusted for baseline lipids. We found that lower levels of sphingomyelins and glycerophospholipids and higher level of lysophospholipids were significantly associated with incident and/or prevalent depression. Changes in sphingomyelins, glycerophospholipids, acylcarnitines, fatty acids and triacylglycerols were associated with changes in depressive symptoms and other psychosomatic traits. We also identified differential lipid networks associated with risk of depression. The observed alterations in lipid metabolism may affect depression through increasing the activities of acid sphingomyelinase and phospholipase A2, disturbing neurotransmitters and membrane signaling, enhancing inflammation, oxidative stress, and lipid peroxidation, and/or affecting energy storage in lipid droplets or membrane formation. These findings illuminate the mechanisms through which dyslipidemia may contribute to depression and provide initial evidence for targeting lipid metabolism in developing preventive and therapeutic interventions for depression.