Background Job insecurity is considered a profound work stressor. While previous research has indicated that job insecurity represents a substantial mental health burden, few studies have examined its relationship with symptoms of major depression. The aim of this study was to assess whether episodic and repeated self-reported threats of dismissal increase the risk of subsequent symptoms of major depression and whether symptoms of major depression are related to subsequent experience of threats of dismissal. Methods The study is based on the Swedish Longitudinal Occupational Survey of Health (SLOSH) study, a cohort study with multiple repeated measurements. The sample consisted of 6275 participants who were in regular paid employment and who provided data in 2008, 2010 and 2012. Severity of depression was assessed with a brief Symptom Checklist scale and categorised according to symptoms of major depression or not. Results Results based on generalised estimating equations logit models showed that prior threats of dismissal predicted symptoms of major depression OR 1.37; 95% CI 1.04 to 1.81) after adjustment for prior depression and major confounders. Especially related threats increased the risk of major depression symptoms (OR 1.74 CI 1.09 to 2.78). Major depression symptoms also increased the odds of subsequent threats of dismissal (OR 1.52, CI 1.17 to 1.98). Conclusions These findings support a prospective association between threats of dismissal and symptoms of major depression, in particular repeated exposure to threats of dismissal. The results also indicate that threats of dismissal are more likely to be reported by workers with symptoms of major depression.