Background Depression is a highly prevalent disease with a high morbidity and mortality risk. Its pathophysiology is not entirely clear. However, type 2 diabetes is an important risk factor for depression. One mechanism that may explain this association may include the formation of advanced glycation end products (AGEs). We therefore investigated the association of AGEs with depressive symptoms and depressive disorder. In addition, we examined whether the potential association was present for somatic and/or cognitive symptoms of depression. Methods Cross‐sectional data were used from the Maastricht Study (N = 862, mean age 59.8 ± 8.5 years, 55% men). AGE accumulation was measured with skin autofluorescence (SAF) by use of the AGE Reader. Plasma levels of protein‐bound pentosidine were measured with high‐performance liquid chromatography and fluorescence detection. Nε‐(carboxymethyl)lysine (CML) and Nε‐(carboxyethyl)lysine (CEL) were measured with ultraperformance liquid chromatography and tandem mass spectrometry. Depressive symptoms and depressive disorder were assessed by the nine‐item Patient Health Questionnaire and the Mini‐International Neuropsychiatric Interview. Results Higher SAF was associated with depressive symptoms (β = 0.42, 95% CI 0.12–0.73, P = .007) and depressive disorder (OR = 1.42, 95% CI 1.04–1.95, P = .028) after adjustment for age, sex, type 2 diabetes, smoking, BMI, and kidney function. Plasma pentosidine, CML, and CEL were not independently associated with depressive symptoms and depressive disorder. Conclusions This study shows that AGE accumulation in the skin is independently associated with higher levels of depressive symptoms and depressive disorder. This association is present for both somatic and cognitive symptoms of depression. This might suggest that AGEs are involved in the development of depression.