Objective Although engagement in productive activities is associated with favourable outcomes with respect to the health and well‐being of older individuals, the association between such activities and depression in older populations remains relatively unexplored. The purpose of this study was to evaluate the association among five productive activities (paid work, formal volunteering, caregiving, informal helping and caring for grandchildren) with depression in older adults in 14 European countries. Methods This cross‐sectional study used the first two waves of data collected by the Survey of Health, Ageing and Retirement in Europe and analysed a total sample of 7238 relatively healthy community residents aged 60 years and older from 14 European countries. The Survey of Health, Ageing and Retirement in Europe excluded potential participants with a past history of depression, cognitive impairment and physical limitations. Depression was categorised using the EURO‐D instrument, and associations with participating in productive activities were investigated. Results Depression was less prevalent among those individuals who were employed or self‐employed and those who participated in formal volunteering or informal helping, whereas caregiving was associated with a higher risk of depression. Caring for grandchildren was not associated positively or negatively with depression. Formal volunteering and caregiving remained associated with depression after adjustment for age, sex, marital status, education, economic status, country and presence of long‐term illness. Conclusions Availability of formal volunteering may be important in reducing depression risk, whereas caregiving is associated with a higher risk of depression in older European adults. Further research is required to clarify the direction of causation and evaluate interventions. Copyright © 2013 John Wiley & Sons, Ltd.