The causal association between chronic diseases and depression remains unclear. This study aimed to explore the effects of types and number of chronic diseases on the risk of depression using data from the Survey of Health, Ageing and Retirement in Europe (SHARE). A self-admitted questionnaire was used to obtain data on 14 predefined chronic diseases and the European-Depression Scale (EURO-D) was used to assess depression. Among the 16,080 baseline depression-free participants aged 50+, 31.29% (5032) developed depression over 13 years. Multivariate Cox regression models showed that individuals with any chronic diseases were at higher risk of new onset depression compared to disease-free participants. The risk of new onset depression increased with an increasing number of diseases among both younger (50–64) and older (65+) adults. Individuals with heart attack, stroke, diabetes, chronic lung disease, and arthritis were at increased risk of depression across age groups. However, some age-specific associations were observed, with cancer increasing depression risk among younger- and peptic ulcer, Parkinson's disease and cataracts increasing depression risk among older adults. These findings highlight the importance of managing chronic diseases, especially among those with more than two diseases, to prevent the development of depression among middle-aged and older adults.