Background Depression is known to be associated with cardiovascular diseases (CVD). This population- based cohort study aimed to determine the association between depression of varying severity and risk for CVD and to study the effect of concomitant anxious distress on this association. Methods We utilized data from a longitudinal cohort study of mental health, work and relations among adults (20-64 years), with a total of 10,443 individuals. Depression and anxious distress were assessed using psychiatric rating scales and defined according to DSM-5. Outcomes were register-based and self-reported cardiovascular diseases. Findings Overall increased odds ratios of 1.5 to 2.6 were seen for the different severity levels of depression, with the highest adjusted OR for moderate depression (OR 2.1 (95% CI 1.3, 3.5). Similar odds ratios were seen for sub-groups of CVD: ischemic/hypertensive heart disease and stroke, 2.4 (95% CI 1.4, 3.9) and OR 2.1 (95%CI 1.2, 3.8) respectively. Depression with anxious distress as a specifier of severity showed OR of 2.1 (95% CI 1.5, 2.9) for CVD. Conclusion This study found that severity level of depression seems to be of significance for increased risk of CVD among depressed persons, although not in a dose-response manner which might be obscured due to treatment of depression. Further, we found a higher risk of CVD among depressed individuals with symptoms of anxious distress.