Background: Depression is considered to be an immune-related disease; however, previous studies have focused on inflammatory factors, and there is no conclusive conclusion on the relationships between immunoglobulins and depression. Therefore, the objective of this cross-sectional study was to evaluate the associations between immunoglobulins and depressive symptoms in Chinese older adults. Results: The China Hainan Centenarian Cohort Study (CHCCS) provides a significant population-based sample of older adults in Hainan, China. A total of 1547 older adults were included in this study. A baseline survey was conducted using a structured questionnaire. Blood samples were obtained following standard procedures. The Geriatric Depression Scale (GDS-15) was used to evaluate depressive symptoms of the participants. This sample of older adults had a median age of 94.75 (range: 80–116) years, and the proportion of women was 72.07%. The prevalence of older adults with depressive symptoms was 20.36% (315 older adults). After adjusting for all covariates, we found that immunoglobulin A levels were positively associated with depression. The adjusted reliability of the association between immunoglobulin A and depression was 0.106 (beta) and 1.083 (odds ratio) (P < 0.05 for both). Conclusions: The present study provides epidemiological evidence that depression has significant associations with immunoglobulin A levels in older adults. Further research should be conducted on the effects of regulating immunoglobulin A to improve depressive symptoms.