The objective of this study was to investigate the relationship between depression and screening for breast and cervical cancer. The study sample included Ontario female respondents to the Canadian Community Health Survey Cycle 1.2, Mental Health and Well Being component (2002). Women with Major Depressive Disorder (MDD) were identified based on the World Mental Health Composite International Diagnostic Interview and women with clinically significant depressive symptoms were identified using the Kessler 6-item Distress Scale (K6 ≥ 8). Respondents eligible for screening (N = 4,042 for cervical cancer and N = 1,403 for breast cancer) were linked to Ontario administrative data to prospectively ascertain screening outcomes. Both women with MDD and K6 ≥ 8 were less likely to receive breast cancer screening than their non-depressed counterparts (46.1% vs. 61.5% for MDD, Χ(2) = 5.47, p = 0.02; 49.9% vs. 61.9% for K6, Χ(2) = 6.61, p = 0.01). Adjusted analyses revealed persistence of the association between K6 ≥ 8 and breast cancer screening (adjusted odds ratio (AOR) 0.63, 95% CI 0.40-0.97). Neither MDD nor K6 ≥ 8 were found to be associated with cervical cancer screening in the full sample. A sub-group analysis by age revealed that women over age 40 years with K6 ≥ 8 were less likely to receive cervical cancer screening than their non-depressed counterparts (49.9% vs. 64.5%, X(2) = 6.47, p = 0.01). This association approached statistical significance in adjusted analysis (AOR = 0.65, 95% CI 0.41-1.04). This study's findings suggest that attention to the uptake of preventive services in women with depressive symptoms is warranted.