Abstract Purpose European policy measures have led to an increased net labour participation of older employees. Yet, via different routes (for instance disability schemes) employees still often leave the labour market early. Mental health may be an important factor hindering labour participation. Aims of this study are twofold: first, to examine the relationship between mental health—particularly depressive complaints—and indicators of labour participation among older employees over a 2-year follow-up period and second, to explore the impact of different work contexts when studying this relation. Methods A subsample of older employees (aged > 45 years; n = 1253) from the Maastricht Cohort Study was studied. Depressive complaints were assessed using the Hospital Anxiety and Depression scale. Logistic and Cox regression analyses covered 2 years of follow-up and were also stratified for relevant work-related factors. Results Employees with mild depressive complaints showed statistically significantly higher risks for poor mental workability (HR 2.60, 95% CI 1.14–5.92) and high psychological disengagement levels (HR 2.35, 95% CI 1.21–4.57) over time compared to employees without depressive complaints. Within various work contexts, for instance in which employees perform physically demanding work or have high psychological job demands, significantly stronger associations were found between depressive complaints and poor mental workability over time. Conclusions This study shows strong longitudinal associations between depressive complaints and indicators of labour participation, also within different work contexts over time. Results provide valuable input for developing preventive measure aiming to enhance sustainable labour participation of older employees.