We examined whether changes in different forms of social participation were associated with changes in depressive symptoms in older Europeans. We used lagged individual fixed-effects models based on data from 9,068 persons aged ≥50 years in wave 1 (2004/2005), wave 2 (2006/2007), and wave 4 (2010/2011) of the Survey of Health, Ageing and Retirement in Europe (SHARE). After we controlled for a wide set of confounders, increased participation in religious organizations predicted a decline in depressive symptoms (EURO-D Scale; possible range, 0-12) 4 years later (β = -0.190 units, 95% confidence interval: -0.365, -0.016), while participation in political/community organizations was associated with an increase in depressive symptoms (β = 0.222 units, 95% confidence interval: 0.018, 0.428). There were no significant differences between European regions in these associations. Our findings suggest that social participation is associated with depressive symptoms, but the direction and strength of the association depend on the type of social activity. Participation in religious organizations may offer mental health benefits beyond those offered by other forms of social participation.