We examined whether baseline depression is associated with myocardial infarction (MI) within a 2-year period among middle-age and older adults in China and whether the association varies by sociodemographic characteristics. Two-year longitudinal data from a nationally representative sample of people aged 45+ years in China were analyzed (N = 15 226). MI within the 2-year period was coded dichotomously. Baseline depression, assessed by the 10-item Center for Epidemiological Studies Depression scale, was used as a dichotomous and a continuous variable. After adjusting for medical conditions, lifestyle, and sociodemographic characteristics, the odds of having an MI within the 2-year period were 46% greater for respondents with clinically significant depression at baseline than those without. There was a dose-response relationship between symptom severity and the probability of having an MI. The association did not vary by sociodemographic characteristics. Findings suggest that depression screening and treatment may reduce MI cases in China and beyond.