This study examines the relationship between religious involvement and 12-month and lifetime DSM-IV major depressive disorder (MDD) within a nationally representative sample of Black Caribbean adults. MDD was assessed using the DSM-IV World Mental Health Composite International Diagnostic Interview (WMH-CIDI). Religious involvement included measures of religious coping, organizational and nonorganizational involvement, and subjective religiosity. Study findings indicate that religious involvement is associated with 12-month and lifetime prevalence of MDD. Multivariate relationships between religious involvement and MDD indicate lower prevalence of 12-month and lifetime MDD among persons who use religious coping and characterize themselves as being religious (for lifetime prevalence only); persons who frequently listen to religious radio programs report higher lifetime MDD. Lower rates of 12-month and lifetime MDD are noted for persons who attend religious services at least once a week (as compared to both higher and lower levels of attendance), indicating a curvilinear relationship. The findings are discussed in relation to previous research on religion and mental health concerns, conceptual models of the role of religion in mental health (e.g., prevention, resource mobilization) that specify multiple and often divergent pathways and mechanisms of religious effects on health outcomes, and the role of religion among Caribbean Blacks.