BackgroundLow socio-economic status is associated with a higher prevalence of depression, but it is not yet known whether change in socio-economic status leads to a change in rates of depression.AimsTo assess whether longitudinal change in socio-economic factors affects change of depression level.MethodIn a prospective cohort study using the annual Belgian Household Panel Survey (1992–1999), depression was assessed using the Global Depression Scale. Socio-economic factors were assessed with regard to material standard of living, education, employment status and social relationships.ResultsA lowering in material standard of living between annual waves was associated with increases in depressive symptoms and caseness of major depression. Life circumstances also influenced depression. Ceasing to cohabit with a partner increased depressive symptoms and caseness, and improvement in circumstances reduced them; the negative effects were stronger than the positive ones.ConclusionsThe study showed a clear relationship between worsening socio-economic circumstances and depression.