The relationships of depression with alcohol and drug use and impairment were examined. Additional analyses were conducted to examine moderators of these associations. Empirical reports on adults with alcohol abuse or dependence published in English in peer-reviewed journals since 1986 that contained data on depression and substance use variable(s) were obtained using a systematic search. The search yielded 74 studies including 58 reports from clinical venues, 10 that were community based, and 6 with subjects from both settings. As hypothesized, the analyses showed that depression is associated with concurrent alcohol use and impairment and drug use and impairment. Effect sizes were small. Depression was also related to future alcohol use and impairment, an earlier age of onset of an alcohol use disorder, and higher treatment participation. Age moderated the association between depression and alcohol use and impairment such that the association was stronger in older samples.