Background The identification of potential high‐risk groups for depression is of importance. The purpose of the present study was to identify high‐risk profiles for depressive symptoms in older individuals, with a focus on functional performance. Methods The population‐based Healthy Ageing Initiative included 2,084 community‐dwelling individuals (49% women) aged 70. Explorative cluster analysis was used to group participants according to functional performance level, using measures of basic mobility skills, gait variability, and grip strength. Intercluster differences in depressive symptoms (measured by the Geriatric Depression Scale [GDS]‐15), physical activity (PA; measured objectively with the ActiGraph GT3X+), and a rich set of covariates were examined. Results The cluster analysis yielded a seven‐cluster solution. One potential high‐risk cluster was identified, with overrepresentation of individuals with GDS scores >5 (15.1 vs. 2.7% expected; relative risk = 6.99, P < .001); the prevalence of depressive symptoms was significantly lower in the other clusters (all P < .01). The potential high‐risk cluster had significant overrepresentations of obese individuals (39.7 vs. 17.4% expected) and those with type 2 diabetes (24.7 vs. 8.5% expected), and underrepresentation of individuals who fulfilled the World Health Organization's PA recommendations (15.6 vs. 59.1% expected; all P < .01), as well as low levels of functional performance. Conclusions The present study provided a potential high‐risk profile for depressive symptoms among elderly community‐dwelling individuals, which included low levels functional performance combined with low levels of PA. Including PA in medical screening of the elderly may aid in identification of potential high‐risk individuals for depressive symptoms.