Few studies have examined the impact of late-life depression trajectories on specific domains of cognitive function. This study aims to delineate how different depressive symptom trajectories specifically affect cognitive function in older adults. Prospective longitudinal cohort study. Australia and the United States of America. In total, 11,035 community-dwelling older adults with a mean age of 75 years. Depressive trajectories were modelled from depressive symptoms according to annual Centre for Epidemiological Studies Depression Scale 10 (CES-D-10) surveys. Four trajectories of depressive symptoms were identified: low ("nondepressed"), consistently mild ("subthreshold depression"), consistently moderate ("persistent depression"), and initially low but increasing ("emerging depression"). Global cognition (Modified Mini-Mental State Examination [3MS]), verbal fluency (Controlled Oral Word Association Test [COWAT]), processing speed (Symbol Digit Modalities Test [SDMT]), episodic memory (Hopkins Verbal Learning Test - Revised [HVLT-R]), and a composite z-score were assessed over a subsequent median 2 years. Subthreshold depression predicted impaired performance on the SDMT (Cohen's d -0.04) and composite score (-0.03); emerging depression predicted impaired performance on the SDMT (-0.13), HVLT-R (-0.09), 3 MS (-0.08) and composite score (-0.09); and persistent depression predicted impaired performance on the SDMT (-0.08), 3 MS (-0.11), and composite score (-0.09). Depressive symptoms are associated with later impaired processing speed. These effects are small. Diverse depression trajectories have different impacts on cognitive function.