Disability pension (DP) is an escalating challenge to individuals and the welfare state, with mental health problems as imminent hazard. The objective of the present paper was to determine if a diagnosis of depression increased the risk of subsequent DP, and whether the risk differed by gender. A population cohort of 1230 persons were diagnostically interviewed (Composite International Diagnostic Interview, CIDI) in a population study examining mental health, linked to the DP registry and followed for 10 years. The risk for DP following depression was estimated using Cox regression. Life-time depression, as well as current depression, increased the risk of subsequent DP for both genders. The fully adjusted [baseline health, health behavior and socio-economic status (SES)] hazard ratios (HRs) for life-time depressed men and women were 2.9 [95% confidence interval (CI) 1.5-5.8] and 1.6 (95% CI 1.0-2.5) respectively. Men were significantly older at time of DP. There are reasons to believe that depression went under-recognized and under-treated. To augment knowledge in the field, without underestimating depression as risk for DP, a deeper understanding of the nature and effects of other distress is needed.