Background: Depression has been previously associated with cognitive impairment in high income country populations. However, its association in the Chilean population has not been investigated. Aim: To investigate the association between depression and cognitive impairment. Material and Methods: Data from 1384 Chilean adults aged > 60 years, participating in the National Health Survey 2009-2010 was analyzed. Cognitive impairment was assessed using the Mini Mental Examination score. The medical diagnosis of depression was self-reported. The association between depression and cognitive impairment was assessed using a logistic regression. Results: Depression was positively associated with cognitive impairment. However, the magnitude of the association was higher in men (Odds ratio (OR) = 4.02 [95% confidence intervals (CI): 1.44; 6.61], p < 0.01]) than in women (OR = 2.23 [95%CI: 1.03; 3.43], p = 0.04). Older adults who were diagnosed for the first time with depression after 65 years of age, showed a stronger association with cognitive impairment (OR = 6.65 [95% CI: 2.39; 10.9], p < 0.01) than those diagnosed before 55 years. Conclusions: Our study confirms the association between depression and cognitive impairment. Further research is needed to elucidate the nature and potential mechanisms that link depression with cognitive impairment.