Data from the Women’s Health and Aging Study were used to test a model of factors explaining depressive symptomology. The primary purpose of the study was to explore the association between performance-based measures of functional ability and depression and to examine the role of self-rated physical difficulties and perceived instrumental support in mediating the relationship between performance-based functioning and depression. The inclusion of performance-based measures allows for the testing of functional ability as a clinical precursor to disability and depression: a critical, but rarely examined, association in the disablement process. Structural equation modeling supported the overall fit of the model and found an indirect relationship between performance-based functioning and depression, with perceived physical difficulties serving as a significant mediator. Our results highlight the complementary nature of performance-based and self-rated measures and the importance of including perception of self-rated physical difficulties when examining depression in older persons.