Abstract Background: The occurrence of depression in younger adults is related to the combination of long‐standing factors such as personality traits (neuroticism) and more acute factors such as the subjective impact of stressful life events. Whether an increase in physical illnesses changes these associations in old age depression remains a matter of debate. Methods: We compared 79 outpatients with major depression and 102 never‐depressed controls; subjects included both young (mean age: 35 years) and older (mean age: 70 years) adults. Assessments included the S ocial R eadjustment R ating S cale, NEO P ersonality I nventory and C umulative I llness R ating S cale. Logistic regression models analyzed the association between depression and subjective impact of stressful life events while controlling for neuroticism and physical illness. Results: Patients and controls experienced the same number of stressful life events in the past 12 months. However, in contrast to the controls, patients associated the events with a subjective negative emotional impact. Negative stress impact and levels of neuroticism, but not physical illness, significantly predicted depression in young age. In old age, negative stress impact was weakly associated with depression. In this age group, depressive illness was also determined by physical illness burden and neuroticism. Conclusions: Our data suggest that the subjective impact of life stressors, although rated as of the same magnitude, plays a less important role in accounting for depression in older age compared to young age. They also indicate an increasing weight of physical illness burden in the prediction of depression occurrence in old age.