Depression is very common throughout the course of veterans' lives, and dementia is common in late life. Previous studies suggest an association between depression and dementia in military veterans. The most likely biologic mechanisms that may link depression and dementia among military veterans include vascular disease, changes in glucocorticoid steroids and hippocampal atrophy, deposition of β-amyloid plaques, inflammatory changes, and alterations of nerve growth factors. In addition, military veterans often have depression comorbid with posttraumatic stress disorder or traumatic brain injury. Therefore, in military veterans, these hypothesized biologic pathways going from depression to dementia are more than likely influenced by trauma-related processes. Treatment strategies for depression, posttraumatic stress disorder, or traumatic brain injury could alter these pathways and as a result decrease the risk for dementia. Given the projected increase of dementia, as well as the projected increase in the older segment of the veteran population, in the future, it is critically important that we understand whether treatment for depression alone or combined with other regimens improves cognition. In this review, we summarize the principal mechanisms of this relationship and discuss treatment implications in military veterans.