Depression and alcohol use disorder (AUD) commonly co-occur, and this comorbidity is associated with greater impairment and higher likelihood of relapse compared to either disorder alone. Identifying shared vulnerability across depression and AUD may aid in developing more parsimonious treatment approaches. Low levels of positive reinforcement for healthy behaviors have been implicated as a shared vulnerability across both depression and AUD. However, prior research in this area has largely been conducted among college students and has rarely examined depression and AUD symptoms together. This study aims to extend prior literature by examining the association between both the frequency and enjoyment of activities and AUD symptoms in a national sample of adults (n = 609) while also accounting for depressive symptoms. Study results indicated that low levels of enjoyment were associated with greater alcohol-related problems and frequency of heavy episodic drinking, above and beyond depressive symptoms. The frequency of potentially pleasurable activities was unrelated to alcohol-related problems or heavy episodic drinking. Findings extend prior literature by providing evidence for the association between enjoyment of activities and alcohol use, above and beyond depressive symptoms, among a national sample of adults. These results suggest that prioritizing enjoyment of activities, rather than frequency, may be important for behavioral intervention efforts to address heavy drinking and associated problems. Future longitudinal research using observational methods of behavior is needed to identify causal relationships between activity enjoyment and AUD symptoms.