Late-Life Major Depression (LLMD) is a complex heterogeneous disorder that has multiple pathophysiological mechanisms such as medical comorbidity, vascular-related factors and Alzheimer’s disease (AD). There is an association between LLMD and AD, with LLMD possibly being a risk factor for, or early symptom of AD and vascular dementia. Whether depression is an etiologic risk factor for dementia, or part of the dementia prodrome remains controversial. AD has a long prodromal period with the neuropathologic features of the disease preceding the onset of clinical symptoms by as much as 15–20 years. Clinicopathological studies have provided robust support for the importance of Aβ42 in the pathogenesis of AD, but several other risk factors have also been identified. Given the relationship between Aβ42 and AD, a potential relationship between Aβ42 and LLMD would improve the understanding of the association between LLMD and AD. We reviewed 15 studies that analyzed the relationship between soluble Aβ42 and LLMD. For studies looking at plasma and/or cerebrospinal fluid (CSF) levels of Aβ42, the relationship between LLMD and soluble Aβ42 was equivocal, with some studies finding elevated Aβ42 levels associated with LLMD and others finding the opposite, decreased levels of Aβ42 associated with LLMD. It may be that there is poor reliability in the diagnosis of depression in late life, or variability in the criteria and the scales used, or subtypes of depression in late life such as early vs. late onset depression, vascular-related depression, and preclinical/comorbid depression in AD. The different correlations associated with each of these factors would be causing the inconsistent results for soluble Aβ42 levels in LLMD, but it is also possible that these patterns derive from disease stage-dependent differences in the trajectory of CSF Aβ42 during older age, or changes in neuronal activity or the sleep/wake cycle produced by LLMD that influence Aβ42 dynamics.