The purpose of this study was to examine conjoint trajectories of depression-physical illness in elderly medical inpatients with heart failure and/or chronic pulmonary disease and major depression (MDD), and to identify baseline predictors of trajectory. Consecutive medically hospitalized patients over age 50 with heart failure and/or chronic pulmonary disease were screened for MDD using the Structured Clinical Interview for Depression. Patients were re-evaluated at 6, 12, 18, and 24 weeks. Four depression-physical illness conjoint trajectories were examined: depression better, illness better; depression better, illness same; depression same, illness better; and depression same, illness same. Baseline predictors of trajectory were examined. MDD was identified in 413 patients; 352 had at least one follow-up. By 6 weeks, 22.3% improved on both depression and illness and 38.1% improved on neither. By 24 weeks, 45.0% had improved on both and 24.8% on neither. Short-term baseline predictors of trajectory (6 weeks) differed from long-term (12-24 weeks); past psychiatric history, overall medical illness severity, and education were short-term predictors, whereas past psychiatric history, depression treatments, and physical functioning were long-term. Improvements in MDD and physical illness track closely together. Characteristics during baseline hospitalization predict outcome trajectory after discharge, and may be useful in understanding etiology and directing treatment.