Chronic stress stemming from social inequity has long been recognized as a risk factor for poor physical and psychological health, yet challenges remain in uncovering the mechanisms through which such exposures affect health outcomes and lead to racial and gender health disparities. Examination of sociocultural influences on group identity, coping, and the expression of stress may yield relevant insight into potential pathways of inequity’s effect on risk for chronic disease. The objective of this study was to examine the relationship between chronic stress as measured by allostatic load (AL) and depression by gendered race group. Using National Health and Nutrition Examination Survey 2005–2010 data, we included Black and White U.S. adults aged 18–64 years (n = 6,431). AL was calculated using 9 biomarkers; scores ≥4 indicated high risk. Depression was assessed using the Patient Health Questionnaire-9; scores ≥10 indicated likely clinical depression. Logistic models estimated odds of depression as a function of AL for each gendered race group adjusting for age and family poverty-to-income ratio. Effect modification was assessed by analysis of variance and relative excess risk due to the interaction. We observed modification on the multiplicative scale. High AL was more strongly associated with depression among White women and Black men than among Black women or White men. In conclusion, a potential manifestation of high chronic stress burden, depression, differs across gendered race groups. These disparities may be due to group-specific coping strategies that are shaped by unequal social contexts.