Separate studies identify depression and inflammatory markers as predictors of cardiovascular events such as myocardial infarction and stroke. Given the strong association between inflammatory markers and depression, these two factors may interact, or partially mediate each other, in predicting cardiovascular hospitalisations. We examined this in participants from a community-dwelling prospective cohort aged 55–85 years. Participants completed baseline questionnaires regarding depressive symptoms and lifestyle factors, and blood was drawn for assay of C-reactive protein (CRP) and interleukin-6. Participants were followed for cardiovascular-related hospitalisations. Potential sources of confounding from behaviour and disease characteristics were identified via directed acyclic graphs. Across approximately 5600 person-years of risk, there were 80 cardiovascular hospitalisations (4.2% of sample, total N = 1888). Depression score and logCRP were significantly associated with risk of cardiovascular event over time (HR = 1.03, 95%CI 1.01, 1.05; HR = 1.50, 95%CI 1.14, 1.99, respectively). However their interaction was not significant, and adjusting for the other did not substantially alter affect sizes. Results for interleukin-6 were similar. There was some evidence of effect modification, where participants with both elevated CRP > 3 mg/L and high depressive symptoms had more cardiovascular events than expected (χ2 = 12.27, p = .03). Hazard ratios were no longer significant after controlling for confounding. Subclinical inflammation may not be the mediating factor between depression and cardiovascular events. Other shared factors such as high risk lifestyle behaviours may underlie the relationship between inflammation, depression and cardiovascular disease.