Individuals with depression, on average, die prematurely, have high levels of physical comorbidities and may experience accelerated biological ageing. A greater understanding of age-related changes in physiology could provide novel biological insights that may help inform strategies to mitigate excess mortality in depression. We used generalised additive models to examine age-related changes in 15 cardiovascular, body composition, grip strength and lung function measures, comparing males and females with a lifetime history of depression to healthy controls. The main dataset included 342,393 adults (mean age = 55.87 years, SD = 8.09; 52.61% females). We found statistically significant case-control differences for most physiological measures. There was some evidence that age-related changes in body composition, cardiovascular function, lung function and heel bone mineral density followed different trajectories in depression. These differences did not uniformly narrow or widen with age and differed by sex. For example, BMI in female cases was 1.1 kg/m2 higher at age 40 and this difference narrowed to 0.4 kg/m2 at age 70. In males, systolic blood pressure was 1 mmHg lower in depression cases at age 45 and this difference widened to 2.5 mmHg at age 65. These findings suggest that targeted screening for physiological function in middle-aged and older adults with depression is warranted to potentially mitigate excess mortality.