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Objectives: Growth differentiation factor 15 (GDF-15) levels increase due to systemic inflammation and chronic disease burden. Since these biological processes are pathogenic factors of malnutrition, we examined the prospective association between GDF-15 serum levels and subsequent malnutrition in older adults. Methods: We used data from 723 women and 735 men aged ≥65 years [mean age (SD): 71.3 (4.18) years] participating in the Seniors-ENRICA-2 cohort, who were followed-up for 2.2 years. Malnutrition was assessed with the Mini Nutritional Assessment-Short form (MNA-SF), where a 12–14 score indicates normal nutritional status, an 8–11 score indicates at risk of malnutrition, and a 0–7 score malnutrition. Associations of GDF-15 and malnutrition were analyzed, separately in women and men, using linear and logistic regression and adjusted for the main potential confounders. Results: The mean (SD) MNA-SF score at baseline was 13.2 (1.34) for women and 13.5 (1.13) for men. Incident malnutrition (combined endpoint “at risk of malnutrition or malnutrition”) over 2.2 years was identified in 55 (9.7%) of women and 38 (5.4%) of men. In women, GDF-15 was linearly associated with a decrease in the MNA-SF score; mean differences (95% confidence interval) in the MNA-SF score were −0.07 (−0.13; −0.01) points per 25% increase in GDF-15, and −0.49 (−0.83; −0.16) for the highest versus lowest quartile of GDF-15. Also in women, GDF-15 was linearly associated with a higher malnutrition incidence, with odds ratio (95% confidence interval) of 1.24 (1.06; 1.46) per 25% increment in GDF-15 and of 3.05 (1.21; 7.65) for the highest versus lowest quartile of GDF-15. Results were similar after excluding subjects with cardiovascular disease and diabetes. No association of GDF-15 with changes in MNA score or malnutrition incidence was found in men. Conclusion: Higher serum GDF-15 concentrations are associated with worsening nutritional status in older women. Further studies should elucidate the reasons for the sex differences in this association and explore the therapeutic potential of modifying GDF-15 to prevent malnutrition.