Background: With the onset of the COVID-19 pandemic, life changed abruptly for older adults in Greece. Social isolation, lockdowns, the fear of serious illness and death, all contributed to an increased risk of developing depression. Objective: To explore the presence and severity of depression in older adults in Greek provincial towns during the pandemic and to explore any possible relationships with loneliness and fear. Methods: A convenience sample of 200 participants aged >65, completed a socio-demographic form, the Revised UCLA Loneliness Scale, the Geriatric Depression-15 Scale (GDS-15) and the COVID-19 Fear Scale (FCV-19S). Data were collected from April to May 2022. Results: The average age of participants was 76.6 years and 35.5% of the participants presented depressive symptoms (mean prevalenceof depression 5 ± 3.7). A moderate to low level of loneliness (mean value 39 ± 11.3) and a moderate level of COVID-19 fear (mean value 18.9 ± 6.5) were also experienced. Higher levels of loneliness were found among participants with lower perceived health status and among those participants registered in Primary Health and Social Care (PHSC) services. Loneliness was positively correlated with depression (r = 0.7, p < 0.001), and increased loneliness and depression were associated with an increase in fear of COVID-19 (r = 0.2, p = 0.01 for both). Conclusions: During the pandemic, older adults experienced loneliness, fear of COVID-19 and depression which were positively associated with each other. It is imperative to develop PHSC policies that are aimed at addressing the mental health problems of the older population, which have been caused by the COVID-19 pandemic, through developing their resilience, offering psychological support and promoting social connections.