We critically review evolutionary theories of major depressive disorder (MDD). Because most instances of MDD appear to be caused by adversity, evolutionary theories of MDD generally propose that sadness and low mood evolved as beneficial responses to adversity, and that MDD is dysfunctional sadness and low mood. If so, MDD research should focus much more heavily on understanding the healthy functions of sadness and low mood to better understand how they dysfunction. A debate about the boundary between healthy sadness and MDD is then reviewed. In part, this debate turns on whether MDD's costliest symptoms could provide unknown benefits. Therefore, the review concludes by discussing 2 theories that explore possible benefits of prolonged anhedonia and suicidality.