Background: The association between dual sensory loss (DSL) and mental health has been well established. However, most studies have relied on self-report data and lacked measures that would enable researchers to examine causal pathways between DSL and depression. This study seeks to extend this research by examining the effects of DSL on mental health, and identify factors that explain the longitudinal associations between sensory loss and depressive symptoms. Methods: Piecewise linear-mixed models were used to analyze 16-years of longitudinal data collected on up to five occasions from 1611 adults (51% men) aged between 65 and 103 years. Depressive symptoms were assessed by the Centre for Epidemiological Studies Depression (CES-D). Vision loss (VL) was defined by corrected visual acuity >0.3 logMAR in the better eye, blindness, or glaucoma. Hearing loss (HL) was defined by pure-tone average (PTA) >25 dB in the better hearing ear. Analyses were adjusted for socio-demographics, medical conditions, lifestyle behaviors, activities of daily living (ADLs), cognitive function, and social engagement. Results: Unadjusted models indicated that higher levels of depressive symptoms were associated with HL (B = 1.16, SE = 0.33) and DSL (B = 2.15, SE = 0.39) but not VL. Greater rates of change in depressive symptoms were also evident after the onset of HL (B = 0.16, SE = 0.06, p < 0.01) and DSL (B = 0.30, SE = 0.09, p < 0.01). The associations between depressive symptoms and sensory loss were explained by difficulties with ADLs, and social engagement. Conclusion: Vision and HL are highly prevalent among older adults and their co-occurrence may compound their respective impacts on health, functioning, and activity engagement, thereby exerting strong effects on the mental health and wellbeing of those affected. There is therefore a need for rehabilitation programs to be sensitive to the combined effects of sensory loss on individuals.