To explore the cross-sectional and longitudinal associations between frailty and incident depressive symptoms in a Chinese elderly sample. We analysed data of 1264 older Chinese elders aged 70-87 years in the Rugao Longevity and Ageing Study. The frailty phenotype was assessed using the Fried criteria and depression symptoms was measured by the Geriatric Depression Scale. At baseline, 10.6% of participants had depressive symptoms and 9.0% had frailty. In cross-sectional analysis, both pre-frailty (odds ratio (OR) = 2.18, 95% CI 1.35-3.51) and frailty (OR = 4.64, 95% CI 2.49-8.66) were associated with depressive symptoms. In longitudinal analyses, frailty (OR = 2.12, 95% CI 1.17-3.83), instead of pre-frailty, was associated with 1.5-year incident depressive symptoms in a full-adjusted model among participants free of baseline depressive symptoms. In the components of frailty, lower grip strength was associated with increased risk of depressive symptoms onset (OR = 1.56, 95% CI 1.06-2.29). Frailty and lower grip strength were associated with incident depressive symptoms in a Chinese elderly sample. Interventions designed to prevent depressive symptoms may be useful by utilising physical aspects of the elderly population.