Basic epidemiologic prevalence data are presented on sex differences in DSM-III-R major depressive episodes (MDE). The data come from the National Comorbidity Survey (NCS), the first survey in the U.S. to administer a structured psychiatric interview to a nationally representative sample of the general population. Consistent with previous research, women are approximately 1.7 times as likely as men to report a lifetime history of MDE. Age of onset analysis shows that this sex difference begins in early adolescence and persists through the mid-50s. Women also have a much higher rate of 12-month depression than men. However, women with a history of depression do not differ from men with a history of depression in either the probability of being chronically depressed in the past year or in the probability of having an acute recurrence in the past year. This means that the higher prevalence of 12-month depression among women than men is largely due to women having a higher risk of first onset. The implications of these results for future research are discussed in a closing section of the paper.