Depression was found to increase the risk of developing the condition by almost 50%. The risk of dying from a stroke also rose by half.
It suggests around 6,000 strokes in the UK each year may be caused by depression.
The study also shows patients with depression face a similar risk of stroke as do smokers and those with obesity.
Each year, more than one in 20 men and one in 10 women will experience depression at least once. Lifetime incidence is more than 16%.
A team from the Harvard School of Public Health in Boston, Massachusetts, reviewed 28 studies covering more than 300,000 patients and 8,478 cases of stroke.
They calculated the overall risk of developing stroke was 45% higher among people with depression than those without.
The risk of dying from stroke was even higher at 55% greater. Ischaemic stroke was 25% more common.
Researchers said 106 cases of stroke could be attributed to depression per 100,000 people in the US. It means 53 cases of ischaemic stroke and 22 fatalities from stroke per 100,000 of the US population may be due to depression.
Authors concluded the study provided 'strong evidence' that depression was a significant risk factor for stroke.
They suggested depression may cause inflammatory changes in the brain that increase the chance of a stroke.
But they could not rule out the possibility that unhealthy behaviours, such as physical inactivity and poor diet, which are associated with depression, might be the root of the link.
The authors said: 'Given the high prevalence and incidence of depression and stroke, the observed association between depression and stroke has clinical and public health importance. More studies are needed to explore the underlying mechanisms and elucidate the causal pathways that link depression and stroke.'