Previous studies suggest lower concentrations of total and high-density lipoprotein (HDL) cholesterol to be predictive of depression. We therefore investigated the relationship of lipids and lipoprotein distribution with elevated depressive symptoms (EDS) in healthy men and women from the Multi-Ethnic Study of Atherosclerosis (MESA). Participants were followed up over a 9.5-year period. EDS were defined as a Center for Epidemiological Studies Depression (CES-D) score ⩾16 and/or use of antidepressant drugs. Lipoprotein distribution was determined from plasma using nuclear magnetic resonance spectroscopy. Among 4938 MESA participants (mean age=62 years) without EDS at baseline, 1178 (23.9%) developed EDS during follow-up. In multivariable Cox regression analyses, lower total, low-density lipoprotein (LDL) and non-HDL cholesterol concentrations at baseline were associated with incident EDS over 9.5 years (hazards ratio (HR)=1.11-1.12 per s.d. decrease, all P<0.01), after adjusting for demographic factors, traditional risk factors including LDL cholesterol, HDL cholesterol and triglycerides. Lipoprotein particle subclasses and sizes were not associated with incident EDS. Among participants without EDS at both baseline and visit 3, a smaller increase in total or non-HDL cholesterol between these visits was associated with lower risk of incident EDS after visit 3 (HR=0.88-0.90 per s.d. decrease, P<0.05). Lower baseline concentrations of total, LDL and non-HDL cholesterol were significantly associated with a higher risk of incident EDS. However, a short-term increase in cholesterol concentrations did not help to reduce the risk of EDS. Further studies are needed to replicate our findings in cohorts with younger participants.