Objectives: Involuntary employment exit in later life has been shown to be a risk factor for poor physical and mental health. This study aims to examine the relationship between involuntary employment exit in later life and subsequent risk of reporting major depression or being prescribed anti-depressant medication (ADM). Method: Data were drawn from four waves of the Swedish Longitudinal Occupational Survey of Health (SLOSH). Results: After controlling for socio-demographic variables, health, health behaviours, and baseline depression, involuntary employment exit was associated with an increased risk of reporting major depression (OR 3.16; CI 1.32–7.61) and becoming newly prescribed ADM (HR 2.08; CI 1.03–4.21) compared to voluntary employment exit. Conclusion: Involuntary employment exit represents a risk for subsequent depression in later life. Mental health and social services ought to consider identifying these individuals for possible intervention programs to reduce the burden of depression in later life.