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Objectives: To investigate the association between anemia and depression and whether the treatment of anemia modifies the effect of the association between anemia and depression. Methods: This secondary data analysis is based on data from the Enquête sur la santé des aînés (ESA)‐Services study conducted in 2011–2013 on community‐dwelling older adults recruited in primary care and have given access to their medico‐administrative data (n = 1447). The presence of anemia was self‐reported, as was depression (major and minor) aligned with symptoms of the DSM‐5. Treated anemia was based on the presence of medications delivered to participants. Cross‐sectional associations were analyzed using multivariable logistic regression, controlling for confounders. Results: The prevalence of self‐reported anemia in our sample was estimated at 6.7%. Self‐reported anemia was associated with increased odds of depression. Individuals with untreated anemia had a 2.6‐fold increased odds of depression compared to those with no anemia. In contrast, the odds of depression in individuals with treated anemia were not different from individuals with no anemia. Conclusion: The findings underline the importance of treating anemia in older adults. Future longitudinal studies are needed to replicate the findings and further explore the role of treating anemia on symptoms of depression. [ABSTRACT FROM AUTHOR]