Rheumatoid arthritis (RA) and depression may be associated with each other pathophysiologically, but few studies have been conducted on the interplay between these two diseases using longitudinal measurement. Therefore, we used the National Health Insurance Research Database of Taiwan to investigate the bidirectional associations between RA and depression. One cohort was included to analyze RA predicting the onset of depression and a second cohort for analysis of depression predicting RA. A sex- and age-matched control group was included for both. The incidence of depression in RA subjects was higher than in non-RA subjects [15.69 vs. 8.95 per 1,000 person-years (PYs)], with an adjusted hazard ratios (HRs) of 1.69 [95% confidence interval (CI), 1.51-1.87]. The incidence of RA was higher in depressed than non-depressed individuals (2.07 vs. 1.21 per 1,000 PYs), with an adjusted HRs of 1.65 (95% CI, 1.41-1.77). This population-based cohort study suggested strong bidirectional relationships between RA and depression. Healthcare providers are recommended to facilitate the implementation of more effective therapeutic interventions to achieve favorable prognosis, especially for those with new-onset or younger cases.