As a significant life event and a turning point in the life course, losing a spouse to death is one of the most stressful experiences that requires the most intense readjustment in life. The immediate psychological effects of spousal death are usually severe, and there might be a significant increase in depression level right after the death of the spouse. For most people, psychological distress usually resolves over time. For a small number of widowed adults, however, the impact of widowhood on emotional health and depression levels might last for years. Unlike most studies that use cross-sectional data to investigate the level of depression at a specific time point after the loss of a spouse, this study uses longitudinal data from the Health and Retirement Study to investigate the heterogeneity in the changes in depression level of widowed older adults (n = 446) over eight years before and after the death of a spouse. Continuously married adults (n = 1,611) were also included in the analysis as a comparison group. The study first compared the differences in characteristics at baseline and depression levels at four waves between widowed and continuously married adults using the χ2 test for independence and t-test. Then, paired-samples t-tests were conducted to compare five key continuous variables at baseline and immediate wave after for both widowed and continuously married adults. Next, a latent class growth analysis was conducted to identify possible depression trajectories of adults in both widowed and continuously married groups. I then compared differences across four trajectory groups for both widowed and continuously married adults. Finally, sequential multinomial logistic regressions were computed to identify demographic variables and contextual factors that differentiate respondents in distinct depression trajectory groups. The comparison between widowed adults and continuously married adults shows distinct group differences. Compared to continuously married adults, widowed adults were more likely to be older, female, non-White, and with lower socioeconomic status and worse health conditions. Furthermore, the widowed adults were less close with their spouse at baseline, and they reported lower scores on positive and higher scores on negative social support from various resources. The findings support the hypothesis that heterogeneity exists in the adjustments to the death of a spouse. Four groups of adults with distinct depression trajectories in widowhood were identified: “No Depression Group,” “Increasing Depression Group,” “Decreasing Depression Group,” and “Chronic Depression Group.” Except for education level, all the other demographic variables did not differentiate widowed adults from different depression trajectories. Furthermore, the findings show that health status, functional limitations, and negative social support could significantly differentiate widowed adults from distinct depression trajectories. The findings of this study deepen the understanding of distinct depression trajectories in the transition to widowhood and the effects of demographic variables and contextual factors on these depression trajectories. The findings are also of great significance for early professional intervention for adults experiencing increasing and chronic depression after the death of a spouse. In addition, to improve the quality of emotional support and avoid relationship strain, support for widowed adults should also focus on improving self-care and health promotion. This is especially essential for those who are initially in poor health and hence are most vulnerable to long-term and intense psychological distress.