Abstract INTRODUCTION Late‐life depression symptoms are implicated in dementia. We examined how cumulative burden, duration, trajectory, and variability of depression symptoms are associated with incident dementia. METHODS A prospective cohort analysis of 23,305 dementia‐free adults from four population studies (English Longitudinal Study of Ageing [ELSA], Health and Retirement Study [HRS], Survey of Health, Ageing and Retirement in Europe [SHARE], China Health and Retirement Longitudinal Study [CHARLS]) with repeated Centre for Epidemiologic Studies of Depression scale (CES‐D)/Euro‐Depression scale (EURO‐D) assessments across three waves and a pooled median follow‐up of ≈10.8 years. Exposures included CumSD/cumulative average depression symptom score (CumADS), high‐symptom exposure duration, visit‐to‐visit variability (Standard deviation [SD], coefficient of variation [CV], variation independent of the mean [VIM]), and time‐course patterns. Associations were analyzed using multivariable‐adjusted Cox regression. RESULTS Each 1‐unit increase in cumulative score was associated with a 3%–8% higher dementia hazard across cohorts. Highest versus lowest cumulative quartiles showed markedly elevated risk. Sustained high exposure for 4 years conferred ≈2.7–3.9× greater risk. Higher variability and worsening trajectories were also linked to higher incidence. Associations were robust across subgroups. DISCUSSION Persistent and unstable depression symptoms independently predict higher dementia risk, supporting longitudinal mood monitoring and sustained management. Highlights Multi‐cohort study of 23,305 adults (ELSA, HRS, SHARE, CHARLS). Cumulative depression burden shows a dose–response with dementia risk. Highest versus lowest quartile: dementia hazard up to 18× (HRS). Sustained high symptoms (4 years) linked to ≈2.7–3.9× greater risk. Visit‐to‐visit variability independently associates with higher dementia risk.