Objectives: In previous research a close link between depression and postoperative pain has been described. However, the direction of impact remains unclear. The present longitudinal study aimed to clarify the prognostic value of depressive symptoms for perioperative pain and to explore the causal nature of the association between depressive symptoms and perioperative pain. Methods: In this prospective cohort study, 200 patients scheduled for orthopedic surgery were enrolled. They were evaluated preoperatively (T1) and on the second postoperative day (T2) and on the day of discharge (T3). Perioperative pain was monitored using a visual analogue scale-based pain assessment protocol, and depressive symptoms were measured with the self-reported Patient Health Questionnaire. Cross-lagged multiple regression analyses were performed without and with adjusting for possible confounders (sex, American Society of Anesthesiologists physical status, type of surgery, type of anesthesia). Results: We found significant and substantial links between depressive symptoms and perioperative pain, within a time point and across time intervals, showing consistency with a model of reciprocal impact of depressive symptoms and perioperative pain. No causal priority of one factor over the other was evident. However, after adjusting for possible confounders, only depressive symptoms in the early postoperative period (T2) remained predictive for pain at discharge (T3) and preoperative pain (T1) predicted postoperative depressive symptoms at both T2 and T3. Conclusions: Our results suggest that early postoperative depressive symptoms predicts pain at discharge and preoperative pain predicts postoperative depressive symptoms. In conclusion, perioperative pain therapy should include the treatment of both, pain and depressive symptoms, to achieve sufficient pain relief. The evidence regarding the causal relationships between depressive symptoms and perioperative pain, however, must be tested in future research.