Objective The objective of this study was to examine the role of stress across the life course in the development of depression among older adults in a non‐Western developing setting. Methods Multivariable linear and multinomial logistic regression were used in cross‐sectional analyses of 9729 Chinese participants (mean age 60.2 years) from phase 3 of the Guangzhou Biobank Cohort Study (2006–2008) to investigate the association of childhood adversities and adulthood stressors with depression. Results Childhood adversities were associated with mild depression (odds ratio (OR) 1.78, 95% confidence interval (CI) 1.58, 2.02) and moderate‐to‐severe depression (OR 2.30, 95% CI 1.68, 3.15), adjusted for age, sex, education and childhood socio‐economic status. Past‐year adulthood stressors were also associated with mild depression (OR 1.96, 95% CI 1.54, 2.02) and moderate‐to‐severe depression (OR 3.55, 95% CI 2.21, 5.68), adjusting additionally for occupation and income. Adulthood stressors were more strongly associated with depressive symptoms among individuals with a history of childhood adversities. Conclusions Childhood adversities and adulthood stressors were independently associated with an increased risk of depression among older ambulatory adults, although adulthood stressors were more strongly associated with depression following exposure to childhood adversities. This is consistent with evidence from Western settings in which the social context of risk and protective factors for depression may differ and implies that the role of stress in the aetiology of depression is not context specific. Copyright © 2015 John Wiley & Sons, Ltd.