Evidence suggests that depression is cross-sectionally and longitudinally associated with activation of inflammatory response system. A few studies, however, have investigated the longitudinal relationship between raised inflammatory biomarkers and persistence of depressive symptoms. We examined the temporal relationship between serum levels of inflammatory biomarkers and persistence of depressive symptoms among older participants. Center for Epidemiologic Studies Depression Scale (CES-D) was used to assess depressive symptoms at baseline and at 5-year follow-up in 656 participants (233 men, 423 women) aged > 60 years of the Rotterdam Study. Markers of inflammation interleukin (IL)-6, alpha-1-antichymotrypsin (ACT) and C-reactive protein (CRP) were assessed at baseline, and all participants taking antidepressant medications were excluded from the analysis. No cross-sectional association was found between IL-6, ACT and CRP with depressive symptoms at baseline. However, higher levels of IL-6 and CRP predicted depressive symptoms at 5-year follow-up. Adjustment for confounding variables had no impact on the observed associations. Similarly, a positive association was found between baseline levels of IL-6 (OR = 2.44, p = 0.030) and CRP (OR = 1.81, p = 0.052) and persistence of depressive symptoms over 5 years. Our data suggest that dysregulation of the inflammatory response system is associated with a more severe form of depression more likely to re-occur.