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Objectives: To determine the effects of baseline and changes in frailty states on subsequent depressive symptoms, and whether sleep duration would modify these effects. Design Prospective, cohort study. Setting: The 2011 baseline and 2013 follow‐up waves of the China Health and Retirement Longitudinal Study (CHARLS). Participants: Community‐dwelling old adults who were aged 60 or above at baseline and participated in the 2011 and 2013 waves of the CHARLS (N = 5,026). Measurements: Frailty was measured using the physical frailty phenotype (PFP) scale. Levels of depressive symptoms were measured by the 10‐item Center for Epidemiologic Studies Depression Scale (CES‐D). Using the generalized estimating equations (GEE), the effects of baseline and transitions in frailty states were examined on subsequent depressive symptoms, adjusting for a range of confounding variables. Results: Baseline prefrail (b = 0.97, P <.05) and frail states (b = 0.35, P <.05) were associated with higher subsequent level of depressive symptoms 2 years later. Within individuals who were robust at baseline, transitioning into prefrail/frail (b = 3.04, P <.001) was associated with a higher subsequent level of depressive symptoms, and this association was accelerated by short sleep duration. Within individuals who were prefrail at baseline, transitioning into frail (b = 1.76, P <.001) was associated with higher subsequent levels of depressive symptoms, and this association was stronger among those who reported short sleep duration. Conclusion: Baseline and transitions in frailty states were significantly related with higher subsequent levels of subsequent depressive symptoms. Short sleep duration significantly moderated the effects of baseline or transitions of frailty on subsequent depressive symptoms. Targeted interventions could be implemented to improve sleep quality for prefrail and frail older adults. [ABSTRACT FROM AUTHOR]