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(1) Objective: This study aimed to investigate the reciprocal relationship between frailty and depressive symptoms using longitudinal data among older adults in China. (2) Methods: Data derived from 2014 and 2017 waves of a longitudinal study of 1367 older adults aged 70–84 years, living in rural areas of Jiangsu Province, China. Cross-lagged panel model and a multiple group model were used to examine the temporal effect of frailty on depressive symptoms and vice versa. (3) Results: Frailty was associated with subsequent increase in depressive symptoms, such that participants with higher levels of frailty increase the risks of depressive symptoms (b = 0.090, p &lt, 0.01). Depressive symptoms were significant predictors of increased frailty (b = −0.262, p &lt, 0.001). However, older men and older women had no significant differences in the reciprocal relationship between frailty and depressive symptoms. (4) Conclusions: In conclusion, we find a significant bi-directional relationship between frailty and depressive symptoms. This finding confirms the dyadic model of frailty and depression. Implications for interventions and policy to help frail and depressive older adults are discussed.