World Health Organization statistics reveal that depression is not only one of the leading causes of disability in the world today but it is an illness on the rise. I review research into public attitudes to depression and the effectiveness of recent education campaigns. I contend that while there appears to be evidence that depression is met with serious and persistent stigma, there is a dearth of research in this area. In this article, I forward an explanation for how we might understand the apparent persistence of, and some of the stigmatizing responses to, depression; I term this hypothesis the “Cheater-Detection Model of Depression Stigmatisation” (CDMD). This article proposes that certain behavioral traits associated with depression (specifically: fatigue, cognitive and motor retardation, occupational impairment) may be detected (erroneously) via a specific suite of cognitive mechanisms which were selected for their capacity to gauge cooperation and social exchange among individuals. I argue that the symptoms of depressive behavior which interfere with social and occupational capacities may trigger responses which were selected for in order to avoid exploitation by “cheaters” (that is to say, individuals who are perceived to benefit from social exchange but who are not judged to reciprocate). Evolutionary psychology informs us that perception of cheating behavior tends to elicit affective responses such as anger and avoidance: I argue that some symptoms of depression tend to induce “false-positive” stigmatizing responses. I conclude that until we understand the cognition underlying stigmatization we cannot expect to target it effectively.