Background: Older Puerto Rican adults have particularly high risk of diabetes compared to the general US population. Diabetes is associated with both higher depressive symptoms and cognitive decline, but less is known about the longitudinal relationship between cognitive decline and incident depressive symptoms in those with diabetes. This study investigated the association between cognitive decline and incident depressive symptoms in older Puerto Rican adults with diabetes over a four-year period. Methods: Households across Puerto Rico were visited to identify a population-based sample of adults aged 60 years and over for the Puerto Rican Elderly: Health Conditions study (PREHCO); 680 participants with diabetes at baseline and no baseline cognitive impairment were included in analyses. Cognitive decline and depressive symptoms were measured using the Mini-Mental Cabán (MMC) and Geriatric Depression Scale (GDS), respectively. We examined predictors of incident depressive symptoms (GDS ≥ 5 at follow-up but not baseline) and cognitive decline using regression modeling. Results: In a covariate-adjusted logistic regression model, cognitive decline, female gender, and greater diabetes-related complications were each significantly associated with increased odds of incident depressive symptoms (p < 0.05). In a multiple regression model adjusted for covariates, incident depressive symptoms and older age were associated with greater cognitive decline, and higher education was related to less cognitive decline (p < 0.05). Conclusions: Incident depressive symptoms were more common for older Puerto Ricans with diabetes who also experienced cognitive decline. Efforts are needed to optimize diabetes management and monitor for depression and cognitive decline in this population.