Many depressed individuals experience difficulties in executive functioning that contribute substantially to functional impairment. It is unknown whether a subtype of depression characterized by chronic inflammation is differentially associated with worse executive functioning. This study examined whether the combination of depression and higher C reactive protein (CRP) is differentially associated with worse executive functioning and whether this association is stronger in older adults. This cross-sectional study analyzed data collected from a population-representative sample of 43,896 adults aged 44.13 years (SD = 13.52) who participated in the baseline assessment of the Lifelines cohort study. Multivariate regression models tested whether depressed individuals (established via structured interview) exhibiting higher levels of inflammation (indexed via high-sensitivity CRP assay following an overnight fast) performed worse on a behavioral test of executive functioning. Depression (B = −3.66, 95% CI: −4.82, −2.49, p < .001) and higher log-transformed CRP (B = −0.67, 95% CI: −0.87,-0.47, p < .001) were associated with worse executive functioning, after adjustment for age, sex, educational attainment, body mass index, smoking status, exposure to stressful life events and chronic stressors, sedentary behavior, and number of chronic medical conditions. Depressed individuals with higher log-transformed CRP exhibited differentially poorer executive functioning (B = −1.09, 95% CI: −2.07,-0.11, p < .001). This association did not differ based on age (B = 0.01, 95% CI: −0.08, 0.10, p = .82). Executive functioning is poorer in depressed individuals with higher CRP, even in early adulthood. Interventions that reduce inflammation may improve cognitive functioning in depression.