In Alzheimer's disease (AD), cognition and function are only moderately correlated in cross-sectional studies, and studies of their longitudinal association are less common. One potential non-cognitive contributor to function is depression, which has been associated with poorer clinical outcomes. The current study investigated longitudinal associations between functional abilities, cognitive status, and depressive symptoms in AD. 517 patients diagnosed with probable AD and enrolled in The Multicenter Study of Predictors of Disease Course in Alzheimer's Disease were included. Patients were followed at 6-month intervals over 5.5 years. Longitudinal changes in the Blessed Dementia Rating Scale, modified Mini-Mental State Exam, and the depression subscale of the Columbia University Scale for Psychopathology in AD were examined in a multivariate latent growth curve model that controlled for gender, age, education, and recruitment site. Results showed that cognition and function worsened over the study period, whereas depressive symptoms were largely stable. Rates of change in cognition and function were correlated across participants and coupled within participants, indicating that they travel together over time. Worse initial cognitive status was associated with faster subsequent functional decline, and vice versa. Higher level of depressive symptoms was associated with worse initial functioning and faster subsequent cognitive and functional decline. These findings highlight the importance of both cognitive and psychiatric assessment for functional prognosis. Targeting both cognitive and depressive symptoms in the clinical treatment of AD may have incremental benefit on functional abilities.