Several longitudinal studies in high-income countries suggest that depression increases stroke risk. However, few prior studies have evaluated this association in low- and middle-income countries (LMICs), where rapidly aging populations may have markedly different vascular risk profiles. Prospective cohort study. The Mexican Health and Aging Study is a national population-based study of older adults in Mexico. A total of 10,693 Mexican adults aged 50 and older enrolled in 2001 with no history of prior stroke. Depressive symptoms were assessed with a modified 9-item Centers for Epidemiologic Studies Depression Scale (elevated depressive symptom cutoff ≥5) in 2001 and 2003. We evaluated associations between baseline and short-term (2-year) changes in elevated depressive symptoms (categorized as stable low, recently remitted, recent-onset, or stable high symptoms) with incident self-reported or next-of-kin reported doctor-diagnosed stroke through 2015 using Cox proportional hazards models and sensitivity analyses applying inverse probability weights. Over an average follow-up of 11.4 years (standard deviation = 4.2), 10,693 respondents reported 546 incident strokes. Individuals with elevated baseline depressive symptoms experienced a moderately higher hazard of incident stroke (hazard ratio [HR] = 1.13; 95% confidence interval [CI] = .95-1.36) compared with those without elevated baseline depressive symptoms. In analyses of short-term changes in elevated depressive symptoms (n = 8,808; 414 incident stokes), participants with recent-onset (HR = 1.38; 95% CI = 1.06-1.81) or stable high (HR = 1.42; 95% CI = 1.10-1.84) elevated depressive symptoms had a greater hazard of incident stroke compared to those with stable low/no depressive symptoms, whereas recently remitted (HR = 1.01; 95% CI = .74-1.37) symptoms was not associated with stroke hazard. Strategies to reduce depressive symptoms merit evaluation as approaches to prevent stroke in middle-income countries. Findings are similar to those in high-income countries but should be replicated in other LMICs.