Cognitive impairment has long been identified as a component of late-life depression (LLD), and depressive symptoms are common in neurodegeneration. Depression may confer a greater risk of cognitive decline in a cognitively intact population and further cognitive decline in a mild cognitive impairment population compared with those without depression. Exploration of the link between cognitive impairment in LLD and the depressive features of neurodegeneration is an essential part of a diagnostic algorithm. In this review, we will discuss these links; we will address depressive symptoms as a risk factor for dementia and as a prodrome to dementia. We will review clinical subtypes and imaging markers as predictors of development of dementia in depressed patients and explore vascular etiologies. We will also explore LLD and dementia as a spectrum, rather than mutually exclusive diagnostic entities.