The present study aimed to investigate the grip strength (GS) discrimination capacity and cutoffs points for depressive symptoms among vulnerable elderly individuals with musculoskeletal conditions. The Survey of Health, Aging, and Retirement in Europe wave 6 was analyzed. GS was measured by a handgrip dynamometer, and EURO-D scale was used to assess depressive symptoms. GS cutoff values for depressive symptoms were calculated using the receiver operating characteristics curve. 2206 participants, mean age 74.0 (73.7–74.3), 78.8% with osteoarthritis/other rheumatism, enrolled in the study. Sensitivity varies between 0.44 (men, ≥ 85 years) and 0.82 (men, 75–84 years), and specificity varying between 0.35 (women, 75–84 years) and 0.70 (men 75–84 years). GS is associated with depressive symptoms just for women and it is not possible to use a GS cutoff point for screening depressive symptoms for vulnerable men and women with musculoskeletal conditions over the age of 65 years.