Introduction: Frailty and depression can coexist as depressed frail phenotype, useful for the comprehensive evaluation of older adults and prevention of adverse outcomes. The objective of this study was to evaluate the role of the depressed frail phenotype and its components as risk factors for mortality in older adults of the Centro Médico Naval (CEMENA) of Peru during 2010–2015. Material and methods: We carried out a secondary data analysis of a prospective cohort that included older adults (60 years and older) treated in the Geriatrics service of CEMENA between the years 2010–2015. Frailty was defined as the presence of three or more Fried phenotype criteria and depression was determined using a Yesavage ultrashort scale score of three or more. The presence of both conditions was defined as depressed frail phenotype. In addition, sociodemographic characteristics, medical and personal history, and performance-based measures were included. We employed crude and adjusted Cox regression models to evaluate the association of interest and estimate Hazard Ratios (HR) with their respective 95% confidence intervals (95% CI). Results: 946 older adults were included in the analysis, with a mean age of 78.0 ± 8.5 years. 559 (59.1%) were male, 148 (15.6%) were found to be frail, 231 (24.4%) had depressive symptoms, 105 (11.1%) had depressed frail phenotype, and 79 (8.3%) participants died during follow-up. The adjusted Cox regression analysis revealed that depressed frail phenotype (HR = 3.53; 95%CI: 2.07–6.00; p < 0.001) was a risk factor for mortality in older adults. Conclusions: The depressed frail phenotype was associated with a higher risk of mortality in older adults. It is necessary to develop longitudinal studies that allow estimating this phenotype's impact on mortality and evaluate interventions to improve quality of life and reduce the risk of adverse outcomes.