The potential association between depressive symptoms and dynapenia – i.e. muscle weakness – is limited to few, mainly cross-sectional, studies. We use SHARE (Survey on Health, Ageing and Retirement in Europe) panel data to investigate whether the onset of dynapenia at 4-year follow-up can be explained by pre-existing (either at baseline, or at 2-year follow-up) depressive symptoms, or vice versa. Depressive symptoms were identified as a score of 4 or more on the 12-item EURO-D scale. Individuals were classified as affected by dynapenia if they had handgrip strength of < 20 kg for women and 30 kg for men. We estimate whether being affected by symptoms of depression at baseline or becoming symptomatic between baseline and a 2-year follow-up increases the oddsratio (OR) for dynapenia at a 4-year follow-up among individuals with no muscle strength impairment at baseline. We also carry out the reverse analysis, and study whether dynapenia at baseline or incident dynapenia between baseline and first follow-up increase the probability that individuals develop depressive symptoms by the second follow-up. The analysis was carried out using multivariate logistic regression. After adjusting for a full set of potential confounders, being symptomatic for depression at baseline did not increase the risk of dynapenia at the 4-year follow-up. Instead, individuals developing depressive symptoms between baseline and the 2-year follow-up had a 34% increased risk of developing dynapenia at the 4-year follow-up (OR 1.34, 95% CI 1.02 1.66). No significant association was detected between dynapenia at baseline or the onset of dynapenia between baseline and the 2-year follow-up and the incidence of depressive symptoms at the 4-year follow-up. In conclusion, our results support the effect of the onset of depressive symptoms on the onset of dynapenia, even after considering the role of confounding factors.