Using three waves of panel data collected from a national sample of Japanese adults between the ages of 55 and 64 years, we examined the relationship between productive roles and depressive symptoms. Our particular emphasis was on multiple roles, role transitions, and gender differences. We found that, among men, engaging in more hours of paid or volunteer work was related to fewer depressive symptoms. Although men who lost their paid work role reported more depressive symptoms, volunteer work attenuated the negative effect of losing their paid work role. For women, none of the productive roles examined in this study were found to be independently linked with depressive symptoms. However, engaging in multiple productive roles, in comparison with doing only housework, was related to fewer depressive symptoms. These findings suggest the psychological benefits of paid and volunteer work for retirement-aged men in Japan, and the need to be attentive to gender differences in the impact of productive roles.