OBJECTIVE: Previous studies have reported an association between depression and poor cognitive functioning. Unknown is to what degree such associations are merely state-related or reflect an enduring depression vulnerability. This study examined whether cognitive deficits predict current and/or follow-up (sub)clinical depressive symptoms in the general population. METHOD: A population-based sample of 569 female twins and 43 of their sisters completed a neuropsychological battery. Cross-sectional and prospective associations between depressive symptoms measured at the subclinical [Symptom Checklist-90 (SCL-90)] and clinical level (Structured Clinical Interview for DSM-IV disorders) and neuropsychological factors (episodic memory and information processing speed) were examined. RESULTS: Structured Clinical Interview for DSM-IV disorders baseline depressive symptoms were significantly associated with information processing speed but not with episodic memory. Episodic memory was significantly associated with follow-up SCL-90 depressive symptoms. CONCLUSION: Being depressed is accompanied by slower information processing. Poor memory functioning may be a predictor for the onset of subclinical depressive symptoms.