Psoriasis is associated with depression, myocardial infarction (MI) and stroke. Patients with depression have increased cardiovascular risk. However, the link between psoriasis, depression and cardiovascular disease is unclear. This link was investigated in a nationwide Danish cohort of patients with psoriasis (n = 29,406). Incidence rates were calculated, and incidence rate ratios (IRRs) adjusted for age, gender, socio-economic status, medication and comorbidity were estimated by Poisson regression models. Risk of MI (IRR 1.57, 95% confidence interval (95% CI) 1.07–2.29), stroke (IRR 1.95, 95% CI 1.43–2.66), and cardiovascular death (IRR 2.24, 95% CI 1.53–3.26) were increased significantly during acute depression, and risk of stroke (IRR 1.51, 95% CI 1.19–1.90) was increased significantly in chronic depression. During remission from depression, only the risk of stroke was increased. In conclusion, in patients with psoriasis, depression is associated with increased risk of MI, stroke and cardiovascular death, especially during acute depression.