Objective To compare cognitive inhibition performance between people with early‐onset (EOD) or late‐onset depression (LOD) and controls, and between women and men with LOD. Methods On the basis of a case‐control design, global executive performance (Frontal Assessment Battery); verbal (Hayling), attention (Stroop), and motor (Go/No‐Go) components of cognitive inhibition; mental shifting (Trail Making Test parts A and B); and updating in working memory (Wechsler Adult Intelligence Scale) were assessed in 40 participants (10 depressed women with LOD (i.e., ≥60 years old), 10 depressed women with EOD (i.e., <60 years old), 10 healthy women and 10 depressed men with LOD (i.e., ≥60 years old)). Results Older depressed women, irrespective of age of depression onset, had greater cognitive inhibition impairments (attention and verbal component) compared with healthy women. LOD was significantly associated with the attention component of cognitive inhibition impairment, unlike EOD (p = 0.026). No executive differences were found regarding age of first‐onset depression in older depressed women, and between women and men with LOD. Conclusion Cognitive inhibition impairment, and more specifically its attention component, was the main characteristic of depression in the studied sample of older adults, independently of gender and age of depression onset. It is essential to perform similar studies in both genders in view of future tailor‐made therapeutic modalities. Copyright © 2013 John Wiley & Sons, Ltd.