Paying attention to the physical and mental health of Chinese older adults is of great significance for promoting the implementation of the National Strategy for Actively Responding to Population Ageing and the Healthy China strategy. By applying the fixed effect model and cross-lagged panel model to the data of the China Health and Retirement Longitudinal Study (CHARLS) 2013, 2015, and 2018, this paper analyzes the causal relationship between physical disability and depressive symptoms among Chinese older adults. The results show that there is a significant positive correlation between physical disability and depressive symptoms during the same period. After controlling for unobserved confounding factors, the deterioration and improvement of physical disability will significantly affect changes in depressive symptoms. Using the cross-lagged panel model, we found a bidirectional causal relationship between physical disability and depressive symptoms among older adults. By utilizing three physical disability measurement indices, namely the Nagi Index, IADL Index, and ADL Index, it was discovered that the bidirectional causal relationship between them remains significant. Therefore, it is necessary to enhance the prevention and rehabilitation of physical disability among Chinese older adults and to construct a comprehensive health service system for older adults that encompasses various aspects, including physical and mental health.