Due to its devastating consequences, late life depression is an important public health problem. The aim of the study was the analysis of variables which may potentially influence risk of depression (GDS-SF). Furthermore, the aim was to study possible mediating effect of given variables on the relationship between the total protein concentration and risk of depression in older-adults with chronic diseases, and physical function impairment. The research sample included a total of 132 older adults with chronic conditions and physical function impairments, remaining under a long-term care in residential environment. Negative linear correlation was observed between patients’ physical functionality, total protein concentration, concentration of HDL cholesterol, arm circumference, and the risk of depression. Considerably stronger relationship was observed between total protein concentration, and GDS-SF, in elderly suffering from sensory dysfunction (b = −6.42, 95% CI = −11.27; −1.58). The effect of the mediation between depression risk is correlated to total protein concentration in blood serum, and the mediators are probably low function impairment and low levels of 25 (OH)D vitamin. Cohort control research is suggested to confirm the hypothesis.