The present study aims at investigating childhood circumstances and events over the life course that determine depression among persons aged 50 plus, contributing thus to a sparsely explored area, as most studies examine factors at two points in time. To achieve this objective cross-sectional and retrospective data from the Survey of Health, Ageing and Retirement in Europe (SHARE) have been used and logistic regression models. The findings indicate that adverse childhood circumstances and, especially, whether parents drank heavily, have a strong and independent effect on later life depression in spite of taking into account other adverse experiences, health and socioeconomic status (SES) over the life course. Further, events in adulthood have their own independent effect. Adulthood circumstances mediate childhood adverse experiences but only up to a point. History of poor mental health both in childhood and adulthood predispose to depression. Past and present SES have a strong impact; a proxy of parental educational level and the respondent’s educational attainment have a protective effect while financial hardship over the life course, having experienced a period of hunger and facing financial difficulties in later life have a negative effect. Concurrent physical health, symptoms and disability are more important predictors of depression compared to childhood and adulthood poor health. Finally, cognitive function in childhood and in later life are also significant predictors.