Depression frequently co-occurs with coronary heart disease (CHD), worsening clinical outcomes of both, and inflammation has been proposed as a biological link between these two disorders. The aim of the present study was to investigate the role of inflammation in the development of depression in CHD patients during a 3-year follow-up. We examined the inflammatory biomarker, high-sensitivity C-reactive protein (hsCRP), measured at baseline, as a potential predictor of later onset of depression. We recruited 89 CHD patients, who were assessed at baseline and then every 6 months, for three years. The sample included, at baseline, 25 depressed and 64 non-depressed CHD patients, as confirmed by Clinical Interview Schedule Revised (CIS-R). Depressive symptoms were assessed at baseline and all follow-up points by the Patient Health Questionnaire-9 (PHQ-9). In all CHD patients (n = 89), we found a significant positive correlation between hsCRP levels and the severity of depressive symptoms at baseline (PHQ-9, r = 0.23, p = 0.032). During follow-up, n = 21 patients (of the 64 non-depressed at baseline) developed depression, defined as being PHQ-9 positive (a score ≥ 10) in at least one follow-up assessment. Of these, n = 9 subjects were defined as developing clinically-significant depression, that is, having a positive PHQ-9 in at least 3 of the 6 follow-up assessments, implying a duration of symptoms of at least one year. We found that increased hsCRP values at baseline predicted future onset of depression. Specifically, baseline hsCRP values were higher in patients who later developed clinically-significant depression (mean ± SD; 6.76 ± 6.52 mg/L) compared with never-depressed (2.77 ± 3.13 mg/L; F(1,48) = 7.29, p = 0.010), even after controlling for baseline PHQ-9 scores. In conclusion, inflammation in CHD patients is associated with future development of clinically-significant depression. HsCRP, a reliable and ready-to-use biological marker of inflammation, may help to identify depression high-risk phenotypes even among CHD patients, who already have high baseline inflammation. Our study conveys important preliminary findings that will require further replication but that have the potential to affect the mental and physical health of a vulnerable group of individuals.