People suffering from depression are more likely to end up with dementia, because it speeds up the rate their brain ages.
Researchers claim that people with symptoms of depression will experience a greater decline of their cognitive state later in life than those without.
The paper was published on 24 May in Psychological Medicine by Dr Darya Gaysina and Amber John from the Environment, Development, Genetics and Epigenetics in Psychology and Psychiatry Lab at the University of Sussex.
The pair spoke to more than 71,000 participants, including people who presented with symptoms of depression and those diagnosed with clinical depression.
They looked at memory loss, decision making and information processing speed.
Although scientists have previously said that people with depression or anxiety are at greater risk of suffering from dementia in later life, the study is the first to link depression and overall cognitive function.
The study's authors say the findings are important for early interventions, as it can take several decades before dementia is diagnosed. The disease currently has no cure.
They are calling for greater awareness of mental health to protect brain health for an ageing population.
Dr Gaysina said: "This study is of great importance - our populations are ageing at a rapid rate and the number of people living with decreasing cognitive abilities and dementia is expected to grow substantially over the next thirty years.
"Our findings should give the government even more reason to take mental health issues seriously and to ensure that health provisions are properly resourced.
'We need to protect the mental wellbeing of our older adults and to provide robust support services to those experiencing depression and anxiety in order to safeguard brain function in later life."
Researcher Amber John added: "Depression is a common mental health problem - each year, at least 1 in 5 people in the UK experience symptoms.
'But people living with depression shouldn't despair - it's not inevitable that you will see a greater decline in cognitive abilities.
'Taking preventative measures such as exercising, practicing mindfulness and undertaking recommended therapeutic treatments, such as Cognitive Behaviour Therapy, have all been shown to be helpful in supporting wellbeing, which in turn may help to protect cognitive health in older age."