In subclinical hypothyroidism, the presence of depressive symptoms is often a reason for starting levothyroxine treatment. However, data are conflicting on the association between subclinical thyroid dysfunction and depressive symptoms. We aimed to examine the association between subclinical thyroid dysfunction and depressive symptoms in all prospective cohorts with relevant data available. We performed a systematic review of the literature from Medline, Embase, Cumulative Index to Nursing and Allied Health Literature, and the Cochrane Library from inception to 10th May 2019. We included prospective cohorts with data on thyroid status at baseline and depressive symptoms during follow-up. The primary outcome was depressive symptoms measured at first available follow-up, expressed on the Beck's Depression Inventory (BDI) scale (range 0-63, higher values indicate more depressive symptoms, minimal clinically important difference: 5 points). We performed a two-stage individual participant data (IPD) analysis comparing participants with subclinical hypo- or hyperthyroidism versus euthyroidism, adjusting for depressive symptoms at baseline, age, sex, education, and income (PROSPERO CRD42018091627). Six cohorts met the inclusion criteria, with IPD on 23,038 participants. Their mean age was 60 years, 65% were female, 21,025 were euthyroid, 1342 had subclinical hypothyroidism and 671 subclinical hyperthyroidism. At first available follow-up [mean 8.2 (± 4.3) years], BDI scores did not differ between participants with subclinical hypothyroidism (mean difference = 0.29, 95% confidence interval = - 0.17 to 0.76, I2 = 15.6) or subclinical hyperthyroidism (- 0.10, 95% confidence interval = - 0.67 to 0.48, I2 = 3.2) compared to euthyroidism. This systematic review and IPD analysis of six prospective cohort studies found no clinically relevant association between subclinical thyroid dysfunction at baseline and depressive symptoms during follow-up. The results were robust in all sensitivity and subgroup analyses. Our results are in contrast with the traditional notion that subclinical thyroid dysfunction, and subclinical hypothyroidism in particular, is associated with depressive symptoms. Consequently, our results do not support the practice of prescribing levothyroxine in patients with subclinical hypothyroidism to reduce the risk of developing depressive symptoms.