Background The longitudinal course of late-life depression remains understudied. Aims To describe transitions along the depression continuum in old age and to identify factors associated with specific transition patterns. Method We analysed 15-year longitudinal data on 2745 dementia-free persons aged 60+ from the population-based Swedish National Study on Aging and Care in Kungsholmen. Depression (minor and major) was diagnosed according to the Diagnostic and Statistical Manual of Mental Disorders, Fourth Edition, Text Revision; subsyndromal depression (SSD) was operationalised as the presence of ≥2 symptoms without depression. Multistate survival models were used to map depression transitions, including death, and to examine the association of psychosocial (social network, connection and support), lifestyle (smoking, alcohol consumption and physical activity) and clinical (somatic disease count) factors with transition patterns. Results Over the follow-up, 19.1% had ≥1 transitions across depressive states, while 6.5% had ≥2. Each additional somatic disease was associated with a higher hazard of progression from no depression (No Dep) to SSD (hazard ratio 1.09; 1.07–1.10) and depression (Dep) (hazard ratio 1.06; 1.04–1.08), but also with a lower recovery (HRSSD−No Dep 0.95; 0.93–0.97 [where ‘HR’ refers to ‘hazard ratio’]; HRDep−No Dep 0.96; 0.93–0.99). Physical activity was associated with an increased hazard of recovery to no depression from SSD (hazard ratio 1.49; 1.28–1.73) and depression (hazard ratio 1.20; 1.00–1.44), while a richer social network was associated with both higher recovery from (HRSSD−No Dep 1.44; 1.26–1.66; HRDep−No Dep 1.51; 1.34–1.71) and lower progression hazards to a worse depressive state (HRNo Dep−SSD 0.81; 0.70–0.94; HRNo Dep−Dep 0.58; 0.46–0.73; HRSSD−Dep 0.66; 0.44–0.98). Conclusions Older people may present with heterogeneous depressive trajectories. Targeting the accumulation of somatic diseases and enhancing social interactions may be appropriate for both depression prevention and burden reduction, while promoting physical activity may primarily benefit recovery from depressive disorders.