Due to their high prevalence and severe consequences depressive disorders provide a primary challenge to medicine and public health. Improving our understanding of modifiable risk factors may help to advance preventive efforts. Chronic psychosocial stress at work, as defined by two theoretical models, demand-control and effort-reward imbalance, is one such modifiable risk factor. This paper reviews and discusses current evidence of associations between work-related psychosocial stress and depression based on a systematic review of prospective cohort studies of these two models, published within the last 10 years. Findings from 12 reports indicate a rather consistently elevated odds ratio of about 1.8 of depression among men and women who were exposed to high demand and low control at work or who spent high efforts in combination with low rewards received in turn. Findings are substantiated by results from experimental investigations that explored psychobiological mechanisms underlying this association. In conclusion, there is solid evidence of a prospectively established moderate association of chronic psychosocial stress at work, as defined by theoretical models, with depression. Despite open research questions the implications of these findings for prevention should be addressed.