NK cell cytotoxicity (NKCC) reduces with age and this has been associated previously with increased mortality. The immune response is also modulated by stress, and here, we assessed the effect of the physical stress of hip fracture and the psychological stress of depression on NKCC in an aged immune system. NKCC was assessed in 101 hip fracture patients (81 female) 6 weeks and 6 months after injury and in 50 healthy age-matched controls (28 female). Thirty-eight patients were depressed at 6 weeks post-injury, and NKCC was reduced in patients who developed depression compared with non-depressed hip fracture patients (p = 0.004) or controls (p < 0.02). NKCC remained lower in the depressed patients compared to those without depression 6 months post-fracture (p = 0.017). We found reduced expression of perforin in NK cells of depressed hip fracture patients compared with controls at 6 weeks (p = 0.001) post-fracture. Serum cortisol levels were also elevated in patients with depression compared to non-depressed patients at 6 weeks (p = 0.01) and 6 months (p = 0.05). NK cells treated with dexamethasone showed a concentration-dependent reduction in NKCC and perforin expression. We propose that depression is the major factor affecting NK cell immunity after hip fracture.