The purpose of this study was to associate the anti-inflammatory dietary diversity and depressive symptoms among a nationwide sample of Chinese older adults. We used data from the 2018 wave of Chinese longitudinal healthy longevity survey (CLHLS). We assessed depressive symptoms using the 10 items of the center for epidemiologic studies depression scale (CES-D-10). Based on the dietary diversity index (DDI) generated by previous studies, we construct two novel indicators: the protein-enriched dietary diversity index diet (PEDDI) and the anti-inflammatory dietary diversity index diet (AIDDI). We used multivariate logistic models to evaluate the associations of DDI, PEDDI, and AIDDI with depressive symptoms, statistically adjusted for a range of potential confounders. A total of 12,192 participants (mean age 83.6 years) were included in the analysis. We found that participants with a higher score of DDI (OR = 0.91, 95% CI: 0.89–0.92) and PEDDI (OR = 0.91, 95% CI: 0.88–0.93) showed lower odds of having depressive symptoms, while the association between AIDDI and depressive symptoms was more marked (OR = 0.80, 95% CI: 0.78–0.83). The associations remained in subgroup analyses and sensitivity analyses. The results indicate that intaking diversified diet, particularly anti-inflammatory foods, may be associated with a lower risk of depressive symptoms. The findings of this study, if confirmed as causal, provide evidence that an intervention of adopting an anti-inflammatory diversified diet may reduce the burden of depression among older adults.