Objectives Depression is associated with an increased risk of cognitive decline. The present study compared two‐year change in cognitive performance between depressed older persons and a non‐depressed control group, between remitted and non‐remitted patients, and evaluated whether vascular burden at baseline was associated with more cognitive decline in depressed older persons. Methods Depressed patients (n = 378) aged ≥60 were recruited from mental healthcare institutes and general practices, and a non‐depressed control group (n = 132) was recruited from general practices. A DSM‐IV depressive episode was established with the Composite International Diagnostic Interview, and processing speed, working memory, verbal memory and interference control were evaluated with three neurocognitive tasks at baseline and 2 years later. A modified Framingham Risk Score, ankle‐brachial index, and history of a vascular event defined vascular burden at baseline. Results After adjusting for baseline cognitive performance, age, sex, and education level, depressed older persons had worse processing speed and verbal memory scores at follow‐up than controls (regression coefficients: −0.172; p = 0.042 and −0.309; p = 0.001, respectively) but did not differ in the other two‐cognitive outcomes. In the sample of depressed patients, remission status at 2 years follow‐up and baseline vascular burden did not predict cognitive performance at follow‐up, after adjustment for baseline cognitive performance, age, sex and education level. Conclusions Our findings suggest that cognitive deficits in depressed older persons are not just a manifestation of depression. In addition, vascular burden was not associated with worse cognitive decline in a sample of depressed older persons. Copyright © 2016 John Wiley & Sons, Ltd.