Background Vitamin D deficiency has been associated with depression in later life, but it remains unclear whether this association is truly causal. Methods Observational study examining the retrospective, cross-sectional and prospective associations between vitamin D concentration and depressed mood in a community-derived sample of 3105 older men living in metropolitan Perth, Western Australia. We measured the plasma concentration of 25-hydroxyvitamin D using standard procedures. Past depression was ascertained by direct questioning and through the use of administrative health data linkage. A geriatric depression scale score equal or greater 7/15 established the presence of current depression. Incident depression was established by a patient health questionnaire (PHQ-9) score ≥10 or by administrative health data linkage during the 6-year follow up (range 0.1–10.9 years). Results Vitamin D concentration <50 nmol/L was associated with greater odds of current (OR = 1.65, 95% CI = 1.13, 2.42) but not past depression (OR = 1.15, 95% CI = 0.83, 1.58). Of the 2740 men with no past or current history of depression, 81 developed clinically significant symptoms during follow up. The adjusted hazard ratio of incident depression for men with plasma vitamin D <50 nmol/L was 1.03 (95% CI = 0.59, 1.79; adjusted for age, living arrangements, season, and prevalent cardiovascular diseases). Conclusions Our results do not support a role for vitamin D in the causation of depression, although a small antidepressant effect of vitamin D cannot be entirely discarded. Large randomised placebo-controlled trials are required to dismiss or establish with certainty the causal link between vitamin D deficiency and depression.