Key components of cognitive lifestyle are educational attainment, occupational complexity and engagement in cognitively stimulating leisure activities. Each of these factors is associated with experiencing fewer depressive symptoms in later life, but no study to date has examined the relationship between overall cognitive lifestyle and depressive symptoms. This task is made more complex because relatively few older participants in cross-sectional studies will be currently experiencing depression. However, many more will show evidence of a depressive thinking style that predisposes them towards depression. This study aimed to investigate the extent to which cognitive lifestyle and its individual components are associated with depressive thoughts and symptoms. Two hundred and six community-dwelling participants aged 65+ completed the depressive cognitions scale, the geriatric depression scale and the lifetime of experiences questionnaire, which assesses cognitive lifestyle. Correlational analysis indicated that each of the individual lifestyle factors—education, occupational complexity and activities in young adulthood, mid-life and later life—and the combined cognitive lifestyle score was positively associated with each other and negatively with depressive symptoms, while all except education were negatively associated with depressive thoughts. Depressive thoughts and symptoms were strongly correlated. Cognitive lifestyle score explained 4.6 % of the variance in depressive thoughts and 10.2 % of the variance in depressive symptoms. The association of greater participation in cognitive activities, especially in later life, with fewer depressive symptoms and thoughts suggests that preventive interventions aimed at increasing participation in cognitively stimulating leisure activity could be beneficial in decreasing the risk of experiencing depressive thoughts and symptoms in later life.