Women with depression may also be at increased risk of having a stroke, US researchers suggest.
A study of over 80,000 women found those with a history of depression had a 29% increased risk of stroke.
The research, in Stroke: Journal of the American Heart Association, said doctors should be aware people with depression may neglect their general health.
UK stroke experts said depression alone was unlikely to increase stroke risk.
The women, all aged 54-79, who were all taking part in the long-running Nurses' Health Study which has been following women across the US since the mid 1970s.
In this study, the researchers looked at data from 2000 to 2006.
None had had a stroke before the study began, while 22% had been diagnosed with depression.
Compared to women without a history of depression, depressed women were more likely to be single, smokers and less physically active. They were also slightly younger, had a higher body mass index and conditions such as high blood pressure, heart disease and diabetes.
During the course of the research, 1,033 women had a stroke.
As well as the increased risk for those who had been diagnosed with depression at any point, the researchers also found women who had used anti-depressants particularly SSRIs (selective serotonin reuptake inhibitors) at any point in the two years prior to the study, was 39% higher.
Bur Dr Kathryn Rexrode, who led the research, said the medicines were more likely to be an indication someone was more seriously ill, rather than a cause of the stroke.
"I don't think the medications themselves are the primary cause of the risk. This study does not suggest that people should stop their medications to reduce the risk of stroke."
She added: "Depression can prevent individuals from controlling other medical problems such as diabetes and hypertension, from taking medications regularly or pursuing other healthy lifestyle measures such as exercise. All these factors could contribute to increased risk."
Dr An Pan of the Harvard School of Public Health, who also worked on the research, said inflammation could be the physical mechanism linking depression and stroke.
But he added: "Regardless of the mechanism, recognising that depressed individuals may be at a higher risk of stroke may help the physician focus on not only treating the depression, but treating stroke risk factors such as hypertension, diabetes and elevated cholesterol as well as addressing lifestyle behaviours such as smoking and exercise."
Dr Peter Coleman, deputy director of research at the UK's Stroke Association, said: "Depression is a very serious condition which needs to be treated carefully by healthcare professionals.
"This research appears to indicate that women suffering from depression may be less motivated to maintain good health or control other medical conditions such as diabetes and high blood pressure, which have an associated increased risk of stroke.
"However, it is very hard to determine whether there is a direct link between depression and stroke risk and a lot more research is needed in this area before depression alone can be viewed as a stroke risk factor.
"It's important that anyone taking antidepressants should continue doing so, and anyone concerned about their overall stroke risk should speak to their GP."