Objective: Clinical trials are necessary for evaluation of novel treatments. However, concerns have been raised about the vulnerability of depressed individuals when joining clinical trials, that is, about their abilities to make good decisions about clinical trial participation. The purpose of this study was to determine whether depression compromises decisions to join clinical trials, by comparing the decisions of 3 groups: depressed individuals, individuals suffering from chronic pain, and individuals with comorbid depression and chronic pain. Method: Participants (depressed: n = 61; chronic pain: n = 60; comorbid: n = 58) completed, via a clinical interview, common decision-making tasks from the field of judgment and decision making (time trade-off and standard gamble). The rationality of decisions was defined as the concordance between the evaluations of their health and the amount of risk participants would accept to improve health. Results: Depressed individuals made less rational decisions than individuals with chronic pain (partial η2 = 0.075, 90% confidence interval [CI] [0.009, 0.180]); however, the discrepancy was in the direction of risk aversion, suggesting that depressed individuals were overly cautious about clinical trial participation. Furthermore, this risk aversion was not limited to clinical trials for depression, but also extended to clinical trials for chronic pain (partial η2 = 0.041, 90% CI [0.002, 0.117]), suggesting that depressed individuals may be overly cautious in their health choices more broadly. Conclusion: Our findings suggest that concerns about depressed individuals making overly risky “desperate” decisions is likely unfounded, and it is more likely that depressed individuals may forgo valuable care options in an attempt to avoid risk.