Data from the Duke Epidemiologic Catchment Area survey were used to examine the relationship between religious affiliation and major depression among 2,850 adults in the community. Religious affiliations were categorized into six groups: mainline Protestant (27 percent), conservative Protestant (59 percent), Pentecostal (4.2 percent), Catholic (2.4 percent), other religions (2.6 percent), and no affiliation (4.4 percent). The six-month prevalence of major depression among Pentecostals was 5.4 percent, compared with 1.7 percent for the entire sample. Even after psychosocial factors such as gender, age, race, socioeconomic status, negative life events, and social support were controlled for, the likelihood of major depression among Pentecostals was three times greater than among persons with other affiliations. Carefully designed studies are needed to understand the complex interactions of religion and mental health.