Although epidemiological literature reports a significant overlap between depression and alcoholism among women, the dynamics of this relationship requires further exploration. The present paper documents significant lifetime histories of depression among women in treatment for alcohol problems, and presents findings on these women's experiences of the relationship between depression and alcohol use problems. In this community-based treatment sample, 18 out of 18 women participating in qualitative interviews reported histories of depression and almost 80% were currently using anti-depressant medication. The use of alcohol as an attempt to escape difficult emotions or alternatively to produce positive emotional experiences is discussed within the gendered context of the stories women tell about their depression and alcohol use.