Objective Thoughts of death are not regularly included in diagnostic instruments and rarely examined separately from thoughts of suicide. This exploratory study examined whether thoughts of death and thoughts of suicide affect the course of late‐life depressive disorders. Methods In 378 depressed older persons, thoughts of death and thoughts of suicide were assessed using questions from the Composite International Diagnostic Interview. After 2 years, the presence of a DSM‐IV‐TR diagnosis of minor or major depression or dysthymia was assessed with the Composite International Diagnostic Interview. The Inventory of Depressive Symptomatology was administered every 6 months up till 3‐year follow‐up. Results Multinomial logistic regression showed that thoughts of death as well as thoughts of suicide predicted double depression at follow‐up (OR = 2.14 [95% CI: 1.04–4.40] and OR = 6.47 [95% CI: 2.22–3.02], respectively), compared with patients without these thoughts. Results became non‐significant when adjusted for baseline depression severity (OR = 1.17 [95% CI: 0.52–2.63] and OR = 2.57 [95% CI: 0.79–8.84], respectively). Mixed linear models showed that severity of depression was lowest in the reference group, while symptoms decreased more over time in those with either thoughts of death or suicide. Conclusions Patients with thoughts of death or with thoughts of suicide were more severely depressed at baseline and follow‐up, with the highest risk of being depressed at follow‐up for patients with thoughts of suicide. These associations could be explained by baseline depression severity. The results suggest that thoughts of death and thoughts of suicide are important risk markers in predicting the course of depression. Copyright © 2016 John Wiley & Sons, Ltd.