The role of self-perceived general health in predicting morbidity and mortality among older people is established. The predictive value of self-perceived mental health and of its possible biological underpinnings for future depressive symptoms is unexplored. This study aimed to assess the role of mental health-related quality of life (HRQOL) and of its epigenetic markers in predicting depressive symptoms among older people without lifetime history of depression. Data were based on a subgroup (n = 1 492) of participants of the longitudinal ESTHER study. An epigenome-wide association study (EWAS) of mental HRQOL was conducted using DNA from baseline whole blood samples and logistic regression analyses were performed to assess the predictive value of methylation beta values of EWAS identified CpGs for incidence of depressive symptoms in later life. The methylation analyses were replicated in the independent KORA cohort (n = 890) and a meta-analysis of the two studies was conducted. Results of the meta-analysis showed that participants with beta values of cg27115863 within quartile 1 (Q1) had nearly a two-fold increased risk of developing depressive symptoms compared to participants with beta values within Q4 (ORQ1vsQ4 = 1.80; CI 1.25–2.61). In the ESTHER study the predictive value of subjective mental health for future depressive symptoms was also assessed and for 10-unit increase in mental HRQOL scores the odds for incident depressive symptoms were reduced by 54% (OR 0.46; CI 0.40–0.54). These findings suggest that subjective mental health and hypomethylation at cg27115863 are predictive of depressive symptoms, possibly through the activation of inflammatory signaling pathway.