Benzodiazepines (BZDs) are commonly prescribed to older adults with depression, but it is unknown whether they improve antidepressant (AD) adherence or depressive symptoms. We followed 297 older veterans diagnosed with depression and provided a new AD medication prospectively for 4 months. Data include validated self-report measures and VA pharmacy records. At initial assessment, 20.5% of participants were prescribed a BZD. Those with a BZD prescription at baseline were significantly more likely than those without to have a personality disorder, schizophrenia spectrum disorder, or other anxiety disorder, and higher depressive symptom and anxiety symptom scale scores on average. In adjusted regressions, BZD use was not significantly associated with AD adherence, any improvement in depressive symptoms, or a 50% reduction in depressive symptoms. Our results suggest BZD use concurrent with AD treatment does not significantly improve depressive outcomes in older veterans.