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Objectives Social isolation and loneliness are two different aspects of social connections. Whether social isolation and loneliness precede depressive symptoms, or depressive symptoms precede feelings of loneliness and social isolation, or both, has not been fully established. This study aims to examine the possible reciprocity in the relationship between the two aspects of social connections and depressive symptoms among middle-aged and older adults. Method This study analyzed four waves of data (2008–2016) from the Health and Retirement Study (N = 5,393 individuals) and investigated within-person level cross-lagged associations of social isolation and loneliness with depressive symptoms using random intercept cross-lagged panel models. Results This study revealed a unidirectional relationship between social isolation and depressive symptoms and a bidirectional relationship between loneliness and depressive symptoms at the within-person level. Specifically, net of trait levels and prior states, earlier state depressive symptoms predicted future state social isolation. That is, when adults feel depressed more frequently than they usually do, they are more likely to be socially disconnected than usual at a later time. In the reverse direction, earlier state social isolation did not predict future state depressive symptoms. Within-person deviation in prior expected depressive symptoms predicted deviation in expected loneliness 4 years later and vice versa. Moreover, the strength of the two cross-lagged effects did not differ. Discussion Social isolation and loneliness are linked to depressive symptoms differently. Though depressive symptoms might be a potential antecedent of social isolation, they might be both a potential antecedent and an outcome of loneliness. [ABSTRACT FROM AUTHOR]