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Mood and substance use disorders (SUDs) are mental conditions that are highly prevalent in the general population. Cooccurrence of major depression and SUD, also known as dual depression, is very common in the field of substance addiction. Sex differences are found in both major depression and SUD. This review, after presenting the state of the art of dual depression as regards prevalence, ethiopathologic mechanisms, and clinical aspects, is focused on dual depression in women. An overview of some potential factors associated with the sex gap in dual depression such as injecting, sexual risk behavior, intimate partner violence, and the reproductive cycle is presented.