Objective Aspirin exhibits anti‐atherosclerotic and anti‐inflammatory properties—two potential risk factors for depression. The relationship between aspirin use and depression, however, remains unclear. We investigated whether the aspirin use is associated with a decreased incidence of depressive symptoms in a large North American cohort. Methods Data from the Osteoarthritis Initiative dataset, a multicenter, longitudinal study on community‐dwelling adults was analyzed. Aspirin use was defined through self‐report in the past 30 days and confirmed by a trained interviewer. Incident depressive symptoms were defined as a score of ≥16 in the 20‐item Center for Epidemiologic Studies‐Depression scale. Results A total of 137 participants (mean age 65 y, 55.5% female) were using aspirin at baseline. Compared with 4003 participants not taking aspirin, no differences in Center for Epidemiologic Studies‐Depression at baseline were evident (P = .65). After a median follow‐up time of 8 years, the incidence of depressive symptoms was similar in those taking aspirin at baseline (43; 95% CI, 3‐60) and in aspirin nonusers (38; 95% CI, 36‐41) per 1000 y; log‐rank test = 0.63). Based on Cox's regression analysis adjusted for 11 potential confounders, aspirin use was not significantly associated with the development of depressive symptoms (hazard ratio = 1.12; 95% CI, 0.78‐1.62; P = .54). Adjustment for propensity scores or the use of propensity score matching did not alter the results. Conclusion Our study found that prescription of aspirin offered no significant protection against incident depressive symptoms. Whether aspirin is beneficial in a subgroup of depression with high levels of inflammation remains to be investigated in future studies.