This study was designed to test the effects of Attention Deficit Hyperactivity Disorder (ADHD) and Developmental Co-ordination Disorder (DCD) on depression levels and investigate the mediating role of executive function (EF) in adults. Adults with ADHD, DCD, and ADHD + DCD (N = 139) completed self-report measures of ADHD, DCD, depression, and EF. There were distinct profiles of EF across diagnostic groups, and higher depression symptoms in adults with ADHD + DCD than DCD alone. All EF domains were predicted by ADHD symptoms, and several by DCD symptoms. ADHD and DCD symptoms, and most EF domains, predicted depression symptoms. Overall EF difficulties fully mediated the relationships between ADHD/DCD and depression symptoms. Several specific EF domains relating to behavioural regulation and metacognition also showed full/partial mediating effects. The mediating role of EF difficulties between these neurodevelopmental conditions and depression symptoms has implications for their understanding and treatment, suggesting that targeting EF may be important for preventing co-occurring depression.