Objective: Olfactory function appears to be a potential marker for the discrimination and early detection of Alzheimer's disease (AD) and depression. The aim of this study is to compare olfactory function in patients with different stages of cognitive impairment under the additional aspect of depression. Methods: Overall, 37 AD patients, 162 patients with amnestic mild cognitive impairment (MCI), 209 patients with non-amnestic MCI, 70 patients with subjective cognitive decline (SCD), and 158 healthy controls (HC) were examined. We investigated the difference in olfactory function for the diagnostic groups as well as for depressed and non-depressed participants. Results: Considering the whole sample, no significant difference in Sniffin’ Sticks performance was found between depressed and non-depressed individuals. Analysis on a single-group basis revealed that non-depressed participants in the HC group scored significantly higher compared with the depressed participants. On the contrary, depressed AD patients showed better olfactory identification scores than non-depressed AD patients.In the total sample, a negative relationship between the Beck Depression Inventory-II (BDI-II) and Sniffin’ Sticks tests was found. A significant explanatory value of depressiveness for olfaction was found in the HC group. In the other diagnostic groups, no significant results were found. Conclusion: No difference was found between depressed and non-depressed individuals considering the whole sample, which does not support our hypothesis that olfactory function can be used to distinguish between depression and early stages of cognitive impairment.