Objective Vascular burden has been linked to future depression and cognitive change in predominately European American samples. This study investigated these relationships in older African Americans. Methods To examine the connection between vascular risk factors, depression, and cognitive change, this study utilized data from 435 older African Americans. Specifically, the study examined the link between vascular risk at baseline with depression and cognitive functioning at a 2.5‐year follow‐up visit. Results High baseline vascular risk was associated with increased odds of future depression while controlling for age and current depression. A series of path analyses demonstrated links between baseline vascular risk, increases in depression, and decreases in processing speed. Conclusions These findings suggest that African Americans with greater vascular burden are at greater risk for depression and cognitive change. Copyright © 2013 John Wiley & Sons, Ltd.