Pain and depression are common in the population and co-morbid with each other. Both are predictive of one another and are also associated with cognitive function; people who are in greater pain and more depressed respectively perform less well on tests of cognitive function. It has been argued that pain might cause deterioration in cognitive function, whereas better cognitive function earlier in life might be a protective factor against the emergence of disease. When looking at the dynamic relationship between these in chronic diseases, studying samples that already have advanced disease progression often confounds this relationship. Using data from waves 1 to 3 of the English Longitudinal Study of Ageing (ELSA) (n = 516), we examined the interplay between pain, cognitive function and depression in a subsample of respondents reporting a diagnosis of arthritis at wave 2 of the ELSA using cross-lagged panel models. The models showed that pain, cognitive function and depression at wave 1, prior to diagnosis, predict pain at wave 2, and that pain at wave 1 predicts depression at wave 2. Pain and depression at wave 2 predict cognitive function at wave 3. The results indicate that better cognitive function might be protective against the emergence of pain prior to an arthritis diagnosis, but cognitive function is subsequently impaired by pain and depression. Furthermore, higher depression predicts lower cognitive function, but not vice versa. This is discussed in the context of the emerging importance of inflammation in depression.