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To consider the mechanisms that may link asthma and major depressive disorder (MDD). Asthma and MDD co-occur at higher rates than expected, but whether this reflects shared underlying pathophysiological mechanisms is not known.A review of the epidemiological data linking asthma and MDD was conducted and the possible biological mechanisms that could account for the high rate of this comorbidity were reviewed.MDD occurs in almost half of patients with asthma assessed in tertiary care centers. Dysregulation of the hypothalamic pituitary adrenal axis may predispose people to both MDD and asthma, and similar alterations in the immune, autonomic nervous, and other key systems are apparent and may contribute to this increased risk of co-occurrence.High rates of MDD in asthma may result from the stress of chronic illness, the medications used to treat it, or a combination of the two. The high level of co-occurrence may also reflect dysregulation of certain stress-sensitive biological processes that contribute to the pathophysiology of both conditions.