Scientists in Taiwan studied the medical records of 4,634 people with depression and 18,544 depression-free individuals for 10 years.
During the follow-up, 1.42% of depression sufferers were diagnosed with Parkinson's compared with 0.52% of non-depressed participants.
People with depression were 3.24 times more likely to develop the disease than those without the mental health problem, said the researchers writing online in the journal Neurology.
Lead author Dr Albert Yang, from Taipei Veterans General Hospital, said: "Depression is linked in other studies to illnesses such as cancer and stroke. Our study suggests that depression may also be an independent risk factor for Parkinson's disease."
He added: "Many questions remain, including whether depression is an early symptom of Parkinson's disease rather than an independent risk factor for the disease.
"Our study also found that depression and older age, and having difficult-to-treat depression, were significant risk factors as well."