INTRODUCTION: Sex differences in the association between depressive symptoms and cognitive decline or dementia risk among older adults remain controversial. Reliance on single time point assessments of depressive symptoms, which fail to capture their dynamic course, may contribute to the inconsistencies. METHODS: We investigated the sex-specific associations of longitudinal trajectories of depressive symptoms with cognitive decline and progression from mild cognitive impairment (MCI) to Alzheimer's disease (AD) dementia among 811 individuals with MCI. RESULTS: In men, increasing depressive symptoms were associated with significantly steeper rates of cognitive decline, as measured by global cognitive and functional outcomes, and with an increased risk of dementia compared to consistently low depressive symptoms. In women, however, these associations were absent. Exploratory analyses using multiple specific cognitive domains as outcomes were also generally consistent with our main findings. DISCUSSION: These findings have critical implications for developing sex-specific, depression-targeted dementia prevention strategies. HIGHLIGHTS: We examined the sex-specific effects of depressive symptom trajectories on cognition and dementia risk in the Alzheimer's Disease Neuroimaging Initiative cohort. Increasing depressive symptoms were associated with cognitive and functional decline in men. Increasing depressive symptoms contributed to conversion to dementia in men. These associations were absent in women.