There are few data on the co-morbidity of essential tremor (ET) with depression. To assess the associations of ET with self-reported depression and antidepressant medication use. In a population-based study in central Spain, participants were evaluated at baseline (1994–1995) and 3 years later. Self-reported depression and use of antidepressant medications were evaluated at each assessment. In cross-sectional analyses, prevalent ET cases were twice more probably than controls to report depression [103 (43.8%) of 235 cases versus 1137 (26.0%) of 4379 controls; adjusted odds ratio (OR) 2.20, 95% confidence interval (CI) 1.66–2.93, P < 0.001] and three times more probably to be taking antidepressant medications [16 (6.8%) cases versus 113 (2.6%) controls; adjusted OR 3.33, 95% CI 1.91–5.82, P = 0.001]. In prospective analyses, baseline self-reported depression (adjusted RR 1.78, 95% CI 1.11–2.89, P = 0.018) and, perhaps, baseline use of antidepressant medication (adjusted RR 1.90, 95% CI 0.59–6.05, P = 0.28) were associated with incident ET. Rather than being totally benign, ET seems to be associated with a mood disorder. Furthermore, as well as being a secondary response to disease manifestations, this mood disorder may be a primary feature of the underlying disease.