The prevalence of depressive symptoms and cognitive decline increases with age. We investigated their temporal dynamics in individuals aged 85 and older across a 5-year follow-up period. Participants were selected from the Leiden 85-plus study and were eligible if at least three follow-up measurements were available (325 of 599 participants). Depressive symptoms were assessed at baseline and at yearly assessments during a follow-up period of up to 5years, using the 15-item Geriatric Depression Scale (GDS-15). Cognitive decline was measured through various tests, including the Mini Mental State Exam, Stroop test, Letter Digit Coding test and immediate and delayed recall. A novel method, dynamic time warping analysis, was employed to model their temporal dynamics within individuals, in undirected and directed time-lag analyses, to ascertain whether depressive symptoms precede cognitive decline in group-level aggregated results or vice versa. The 325 participants were all 85years of age at baseline; 68% were female, and 45% received intermediate to higher education. Depressive symptoms and cognitive functioning significantly covaried in time, and directed analyses showed that depressive symptoms preceded most of the constituents of cognitive impairment in the oldest old. Of the GDS-15 symptoms, those with the strongest outstrength, indicating changes in these symptoms preceded subsequent changes in other symptoms, were worthlessness, hopelessness, low happiness, dropping activities/interests, and low satisfaction with life (all P's < 0.01). Depressive symptoms preceded cognitive impairment in a population based sample of the oldest old.