Hearing loss is frequent in old age and has been associated with fewer social activities and depression. However, hearing problems have also been associated with other comorbidities, which prevent more definitive conclusions about the unique role on older people's wellbeing. Moreover, little attention has been paid to the psychological processes through which this relationship occurs. This study aims to investigate the effect of hearing loss on older adults’ wellbeing from a longitudinal perspective. Using data from three points in time, we investigated the mutual relationship between hearing loss, depression and social activities. Based on longitudinal data of the Survey of Health, Ageing and Retirement in Europe (SHARE) from ten European countries, we conducted the test of competing auto-regressive cross-lagged theoretical models. Results show that hearing loss reduces social activity, which is mediated by depression. The adequacy of this model (versus a model proposing that social activity restriction mediates the relationship between hearing loss and depression) was supported in each of the countries of the sample. Findings showing that hearing loss can contribute to depression and, subsequently, to restriction in social activities have implications for early detection and clinical interventions on hearing loss.