The present study aims to identify subjective and objective health risk factors for depression in patients already suffering from physical health morbidity and examine related gender differences. The initial sample included 135060 respondents deriving from the fourth wave of Survey of Health Aging and Retirement in Europe (SHARE) containing data of individuals aged 50 and older. Afterwards, it was divided into five datasets (of sample size n=27012 individuals each) with an appropriate imputation technique, and statistical analysis was performed for each one separately through Cox proportional hazards model. Findings support that the hazard (depression) rate is 48% higher for females compared to males, and measures of physical health are the most significant risk factors for depression, measured either by subjective or objective indicators. However, a higher prevalence among men is observed for these measures, leading to a higher depression burden. Based on subjective self-assessment, lower writing skills slightly affect only men increasing the depression risk, whereas cognitive self-rated reading skills were not found to have significant influence on depression for both gender groups. Further, life satisfaction, is associated with the highest decrease of depression hazard for both genders, especially though as it concerns males. Regarding objective indicators, better orientation scores vaguely affect only women, decreasing the depression risk. Further, behavioral risk of smoking status was not found to significantly affect depression for both genders, whereas physical inactivity was found to significantly affect only men.