Background: Whether depression before diagnosis of dyslipidemia is associated with higher cardiovascular disease (CVD) risk among newly diagnosed dyslipidemia patients is yet unclear. Methods: The study population consisted of 72,235 newly diagnosed dyslipidemia patients during 2003 to 2012 from the National Health Insurance Service–Health Screening Cohort of South Korea. Newly diagnosed dyslipidemia patients were then detected for pre-existing depression within 3 years before dyslipidemia diagnosis. Starting from 2 years after the diagnosis date, patients were followed up for CVD until 2015. Adjusted hazard ratios (aHRs) and 95% confidence intervals (CIs) for CVD were calculated by Cox proportional hazards regression. Results: Compared to dyslipidemia patients without depression, those with depression had higher risk for CVD (aHR, 1.24; 95% CI, 1.09 to 1.41). Similarly, pre-existing depression was associated with increased risk for stroke (aHR, 1.27; 95% CI, 1.06 to 1.53). The risk for CVD among depressed dyslipidemia patients for high (aHR, 1.42; 95% CI, 1.06 to 1.90), medium (aHR, 1.17; 95% CI, 0.91 to 1.52), and low (aHR, 1.25; 95% CI, 1.05 to 1.50) statin compliance patients tended to be increased compared to patients without pre-existing dyslipidemia. The risk-elevating effect of depression on CVD tended to be preserved regardless of subgroups of smoking, alcohol consumption, physical activity, and body mass index. Conclusion Dyslipidemia patients with pre-existing depression had increased risk for CVD. Future studies that determine CVD risk after management of depression among dyslipidemia patients are needed.