Loneliness has consistently been found to be associated with an increased probability of depressive symptoms among older adults. Yet, the relationship is complex, and it remains unclear whether loneliness is a cause of depressive symptomatology. The aim of this study is to investigate the possible causal effect of loneliness on subsequent depressive symptoms among older adults (65+) in Europe. We analyzed two waves of observational data (2015-2017) from the Study of Health, Aging, and Retirement in Europe (SHARE) (n = 6808) and attempted to identify a causal effect of loneliness on depressive symptomatology by accounting for confounding by potential unmeasured factors using an endogenous treatment-effect model. The results showed a substantial positive association between loneliness in 2015 and depressive symptoms in 2017 in the sample. However, there was no support for the hypothesis that loneliness in 2015 was a cause of depressive symptoms in 2017. Additionally, there was no evidence of unmeasured factors confounding the relationship. Thus, loneliness may not be a cause of depressive symptoms among older adults in the short term. These findings suggest that there might be other reasons why lonely individuals are at an increased risk of depressive symptoms. Therefore, a shift in focus when aiming to reduce depressive symptoms among lonely older adults may be warranted.