Objective Depression is prevalent among elders with cognitive impairment. Cerebral white matter hyperintensities (WMH) have consistently been implicated in late‐life depression and in cognitive impairment. This study aims to clarify the factors related to prevalence, persistence, and new onset of depressive symptoms in subjects with mild cognitive impairment (MCI). Methods As part of a multicenter prospective study, the Clinical Research Center for Dementia of South Korea (CREDOS) Study, we enrolled 590 subjects diagnosed with MCI and with no prior history of depression. Depressive symptoms were assessed by the Korean version of the Geriatric Depression Scale short form (SGDS‐K) at baseline and at follow‐up visits. Brain magnetic resonance imaging was performed at baseline to quantify WMH using a visual rating scale. Results The baseline prevalence of clinically significant depressive symptoms (SGDS‐K ≥5) was 51.4%, and this feature was associated with younger age, lower educational achievement, and higher Clinical Dementia Rating Sum of Boxes (CDR‐SB) scores. Persistence of depressive symptoms across the study period was significantly associated with baseline CDR‐SB and depression scores. New onset of depression (SGDS‐K ≥8; incidence 15.7%) among subjects free of depressive symptoms (SGDS‐K <5) at baseline was associated with severe deep subcortical, but not periventricular, WMH. Conclusions In patients with MCI aged 50 years or older, depressive symptoms were highly prevalent. Cognitive status was closely related to both prevalence and persistence of depressive symptoms, while new onset of depression was associated with deep subcortical WMH severity in this MCI cohort. Our findings provide prospective evidence consistent with the vascular depression hypothesis. Copyright © 2015 John Wiley & Sons, Ltd.