Objective The objective of this study is to describe the prevalence of depression and cognitive impairment among newly admitted nursing home residents in the USA and to describe the treatment of depression by level of cognitive impairment. Methods We identified 1,088,619 newly admitted older residents between 2011 and 2013 with an active diagnosis of depression documented on the Minimum Data Set 3.0. The prevalence of receiving psychiatric treatment was estimated by cognitive impairment status and depression symptoms. Binary logistic regression using generalized estimating equations provided adjusted odds ratios and 95% confidence intervals for the association between level of cognitive impairment and receipt of psychiatric treatment, adjusted for clustering of residents within nursing homes and resident characteristics. Results Twenty‐six percent of newly admitted residents had depression; 47% of these residents also had cognitive impairment. Of those who had staff assessments of depression, anhedonia, impaired concentration, psychomotor disturbances, and irritability were more commonly experienced by residents with cognitive impairment than residents without cognitive impairment. Forty‐eight percent of all residents with depression did not receive any psychiatric treatment. Approximately one‐fifth of residents received a combination of treatment. Residents with severe cognitive impairment were less likely than those with intact cognition to receive psychiatric treatment (adjusted odds ratio = 0.95; 95% confidence interval: 0.93–0.98). Conclusions Many newly admitted residents with an active diagnosis of depression are untreated, potentially missing an important window to improve symptoms. The extent of comorbid cognitive impairment and depression and lack of treatment suggest opportunities for improved quality of care in this increasingly important healthcare setting. Copyright © 2017 John Wiley & Sons, Ltd.