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Background: Earlier studies have recommended that asthmatic patients regularly have comorbid depression; nonetheless, temporal associations remain uncertain. Objectives: To determine whether depression predicts asthma and, on the other hand, whether asthma expects depression. Methods: A literature search was conducted without language restrictions using Pubmed, Embase, Cochrane and PsycINFO for studies published before April, 2017. Papers referenced by the obtained articles were correspondingly reviewed. Only comparative prospective studies with reported risk estimates of the association between depression and asthma were included. In order to examine whether one of these conditions was predictive of the other, studies were excluded if enrolled participants had pre-existing depression or asthma. A random effects model was used to calculate the pooled risk estimates for two outcomes: depression predicting asthma and asthma predicting depression. Results: Seven citations, derived from 8 cohort studies, met our inclusion criteria. Of these, six studies reported that depression predicted incident adult-onset asthma, including 83,684 participants and 2,334 incident cases followed for 8 to 20 years. Conversely, two studies reported that asthma predicted incident depression. These studies involved 25,566 participants and 2,655 incident cases followed for 10 and 20 years, respectively. The pooled adjusted relative risks (RRs) of acquiring asthma associated with baseline depression were 1.43 (95% CI, 1.28–1.61) (P