This observational study investigates whether persons with elevated coronary risk factors (CRFs > 3 and/or diabetes) and depression [i.e., ≥ 16 on the Center for Epidemiological Scale - Depression (CES-D)] can make changes in health behaviours over 3 months and improve depressive symptoms and other CRFs. Analyses were based on data from 310 men and 687 women enrolled in the high-risk arm of the Multisite Cardiac Lifestyle Intervention Program, targeting diet (10% fat), exercise (3 h per week) and stress management (7 h per week). As expected, at study entry, depressed persons had a more adverse medical status, consumed more dietary fat and practiced less stress management than non-depressed persons. To examine 3-month changes, participants were grouped into (1) depressed persons who became non-depressed (CES-D ≤ 16, n = 248; 73%), (2) persons who remained or became depressed (CES-D > 16, n = 76) and (3) non-depressed persons who remained non-depressed (n = 597). All persons, regardless of group, met program goals. The greatest improvements (i.e., diet, exercise, perceived stress, hostility and mental health) were observed in Group 1 relative to Groups 2 and 3, which did not differ from each other. Comprehensive lifestyle changes appear to be feasible and beneficial for initially depressed persons with elevated CRFs.