Depression and substance use disorders are highly prevalent in the general population and often co-occur within the same individual. This association is most commonly explained either by a causal relationship or a shared etiologic factor underlying both disorders. In light of these mechanisms of association, this article summarizes evidence from clinical, epidemiologic, and genetic epidemiologic studies. Details of a large family study designed to addresses key methodological and conceptual issues identified in the review are also presented. The association of alcoholism with depression is likely to be attributable to causal factors rather than a shared etiology, but the scarcity of information for other classes of substance use disorders precludes similar conclusions regarding their association with depression. The lack of unidirectional and consistent patterns of association for depression and substance use disorders indicates that multiple mechanisms of comorbidity are likely to be simultaneously active in this population.