Objective Personality traits have been shown to be predictors of depressive symptoms in late life. Thus, we examined whether other more modifiable sources of individual differences such as self‐efficacy and self‐perceptions of aging would mediate the association between personality traits and depressive symptoms in older adults. Method Data were obtained from 3,507 older adult participants who took part in the 2012 Health and Retirement Study. The “Big Five” personality traits, self‐efficacy, aging perceptions, and depressive symptoms were assessed. Mediation analyses tested the hypothesis that self‐efficacy and aging perceptions would mediate the relationship between personality traits and depressive symptoms. Results All five personality traits were significant predictors of depressive symptoms. Neuroticism was positively associated with depressive symptoms and had the greatest effect compared with the other personality traits. There was a significant indirect effect of neuroticism, extraversion, and conscientiousness on depressive symptoms (including both mediators). The mediating effect of aging perceptions on the relationship between neuroticism and depressive symptoms was the strongest compared with self‐efficacy, accounting for approximately 80% of the total indirect effect. Conclusion Our results provide support for interventions aimed at improving self‐perceptions related to efficacy and aging in order to reduce depressive symptoms in older adults. Copyright © 2016 John Wiley & Sons, Ltd.