Objective: This study examines whether depression is associated with the development of physical illness and multimorbidity, after controlling for socioeconomic, behavioral, and other potential confounders. Methods: This is a retrospective cohort study in which adult respondents to three nationally representative population health surveys were linked to health administrative databases in Ontario, Canada, and followed for 10 years from survey index. Respondents with any of the study outcome conditions at baseline were excluded to create a final cohort of 29,838 participants. The main exposure of interest was depression, measured using the Composite International Diagnostic Interview–Short Form for Major Depression. We controlled for age, body mass index, marital status, immigrant status, annual household income, smoking, alcohol consumption, physical activity, health status, and having a regular doctor. The outcome measure was the development of physical illness over 10 years of follow-up, defined as 1 of 15 common chronic conditions using administrative data. Results: Among the 29,838 participants (15,259 [51%] female), 8% of females and 4% of males had depression at baseline. In this cohort with no comorbidities at baseline, even in the fully adjusted model, depression increased the risk of developing a first physical illness for females (hazard ratio [HR] 1.16; 95% CI, 1.07 to 1.26) and males (HR 1.20; 95% CI, 1.07 to 1.36) and increased the risk of developing a second physical illness for females (HR 1.16; 95% CI, 1.02 to 1.33) over 10 years of follow-up. Conclusions: For individuals with no prior comorbidities, depression is associated with a greater risk of developing subsequent physical illness and multimorbidity over time. Thus, depression identifies a population of people who may benefit from early identification, additional screening, and intervention. Further study needs to be done to determine whether interventions to manage and support people with depression can prevent or delay the increased risk of multimorbidity.