Objective: Frailty and depression are highly comorbid conditions, but the casual direction is unclear and has not been explored in low- and middle-income countries. The aim of this study was to investigate the potential impact of depression on incident frailty in older people living in Latin America. Methods: This study was based on a population-based cohort of 12,844 people aged 65 or older from six Latin American countries (Cuba, Dominican Republic, Mexico, Venezuela, Puerto Rico, and Peru), part of the 10/66 cohort study. Two types of frailty measures were used: a modified Fried frailty phenotype and a multidimensional frailty criterion, which included measures from cognition, sensory, nutrition, and physical dimensions. Depression was assessed using EURO-D and International Classification of Diseases, Tenth Revision criteria. A competing risk model was used to examine the associations between baseline depression and incidence of frailty in the 3–5 years of follow-up, accounting for sociodemographic and health factors and the competing event of frailty-free death. Results: Depression was associated with a 59% increased hazard of developing frailty using the modified Fried phenotype (subdistribution hazard ratio [SHR]: 1.59; 95% confidence interval [CI]: 1.40, 1.80) and 19% for multidimensional frailty (SHR: 1.19; 95% CI: 1.06, 1.33) after adjusting for sociodemographic factors, physical impairments, and dementia. The associations between depression and the multidimensional frailty criteria were homogenous across all the sites (Higgins I2 = 0%). Conclusion: Depression may play a key role in the development of frailty. Pathways addressing the association between physical and mental health in older people need to be further investigated in future research.