Objective Previous investigations into the relationship between late-life depressive symptoms and cognitive functioning have resulted in mixed findings concerning whether or not depressive symptoms and cognitive functioning are related. The mixed reports may be due in part to differences in clinical and nonclinical samples and to inadequate consideration of the dynamic nature (i.e., fluctuating course) of depressive symptoms and cognitive functioning in older adults. The current study examined the chronic, acute, and longitudinal relationships between depressive symptoms and cognitive functioning in older adults in an ongoing treatment study of major depressive disorder (MDD). Methods The neurocognitive outcomes of depression in the elderly study operates in a naturalistic treatment milieu using a pharmacological treatment algorithm and regular psychiatric assessment. Four hundred and fifty-three older adults [mean age 70 years, standard deviation (SD) = 7.2] meeting criteria for MDD at study enrollment received annual neuropsychological testing and depressive symptom monitoring for an average of 8.5 years (SD = 4.5). Results Hierarchical linear modeling revealed that higher age, lower education, and higher average/chronic levels of depressive symptoms were related to lower cognitive functioning. Additionally, results revealed that when an individual's depressive symptoms are higher than is typical for a specific individual, general cognitive function was worse than average. There was no evidence of lagged/longitudinal relationships between depressive symptoms and cognitive functioning in older adults in treatment for MDD. Conclusions Cognitive functioning and depressive symptoms are concurrently associated in older adults with MDD, highlighting the potential importance for stabilizing mood symptoms as a means to manage cognitive deficits in late-life depression. Copyright © 2015 John Wiley & Sons, Ltd.