For every three long-term physical health conditions a person without a history of depression develops, a person of the same age and sex with a history of depression will develop around four, the report says.
Arthritis and high blood pressure were among the most common conditions developed by those with a history of depression.
Healthcare systems should take a combined approach to managing both mental and physical health to improve care and outcomes, experts say.
Large study
Depression is the most common mental health condition and has previously been linked to a number of physical conditions, such as heart disease and diabetes.
Past research has compared people with and without depression to see how many physical conditions they develop over time, but most studies only looked at a small number of illnesses.
Researchers from the University of Edinburgh aimed to measure the link between depression and the rate at which physical conditions develop in midlife and older age.
The study included more than 170,000 volunteers in the UK Biobank study, aged 40-71 years. The research team followed participants for an average of seven years, tracking the development of 69 physical conditions.
Increased risk
At the start of the study, people with a previous diagnosis of depression had an average of three long-term physical health conditions. People without a previous diagnosis of depression, meanwhile, had an average of two such conditions.
Over the study period, adults with a history of depression developed an average of 0.2 additional physical conditions per year, while those without developed 0.16.
This increase in illness might partly be due to higher rates of smoking, high BMI and low physical activity in those with depression.
Support from mental health services for patients to improve their physical health could provide an important opportunity for preventive care, experts say.