Background The role of gene–environment interactions in the pathogenesis of depression is unclear. Previous studies addressed vulnerability for depression after childhood adversity and stressful life events among carriers of numerous specific genetic variants; however, the importance of individual genetic variants, the environmental exposures with which they interact, and the magnitude of the risk conveyed by these interactions remain elusive. Methods We included 7,320 people with a first primary cancer identified in the prospective Diet, Cancer and Health study in an exposed‐only cohort study. The mean age of the individuals was 68 years (5th, 95th percentiles: 58, 78) at cancer diagnosis. Using Cox regression models and cumulative incidence plots, we analyzed the associations between genetic variants in 5‐HTTLPR, BDNF, HTR1A, COMT, and FKBP5 and use of antidepressants as well as hospital contact for depression after diagnosis of cancer. Results Overall, we observed no statistically significant associations, with nonsignificant hazard ratio estimates for use of antidepressants of 0.95–1.07. Conclusions This study of elderly people indicates that it is unlikely that the investigated genetic variants are clinically relevantly associated with depression after diagnosis of cancer. The mechanisms for gene–environment interactions in younger individuals are probably different, and we advise caution in extrapolating our results to early life stress. However, conclusion from the present study might be generalizable to elderly persons exposed to other stressful life events.