In this review, we present an overview of clinical studies that addressed the relationship between depression and dementia or cognitive decline. Cross-sectional studies and meta-analyses have repeatedly shown an association between late-life depression (LLD) and dementia, particularly Alzheimer's disease (AD) and vascular dementia; however, the findings of cohort studies have been inconsistent. Furthermore, studies on the association between depression with a younger age of onset and dementia have yielded inconsistent results. Regarding cognitive decline associated with LLD, several studies have reported an association between LLD and mild cognitive impairment, suggesting that depression itself can cause persistent cognitive impairment. Other studies have compared the cognitive profile between LLD and depression with a younger age of onset, but their results have been inconclusive, especially regarding the association between memory impairment and the age of onset of depression. LLD is associated with vascular change and white matter degeneration of the brain, as shown by magnetic resonance imaging (MRI). Recently, several studies reported an association between gray matter change and LLD. Studies currently in progress employ functional brain imaging methods such as single-photon emission computed tomography, functional MRI, and positron emission tomography. Clinically, it is important to understand how subtypes of depression can be defined in terms of risk of developing dementia, and to devise effective treatments. One paper explored the possibility of detecting depression associated with AD by measuring the blood Aβ40/Aβ42 levels, and other studies have suggested that symptoms of apathy and loss of interest are associated with conversion of depression to AD. Unfortunately, current antidepressants may have limited efficacy on depression with dementia; therefore, further investigation for devising methods of predicting conversion of depression to dementia and subsequent treatment is required.