The co-occurrence of major depression (MD) with alcohol and illicit substance abuse/dependence (A/D) has been repeatedly observed. However, prior research has been unable to determine whether or not the co-occurrence is a result of familial vulnerability or non-familial influences. The present study examines the association of the lifetime diagnosis of MD with alcohol, cannabis, amphetamine, cocaine, and sedative A/D (DSM-III-R criteria) before and after controlling for familial factors in a non-clinical sample of 1874 middle aged, monozygotic male twin pairs. A lifetime diagnosis of MD was significantly associated with lifetime diagnosis of alcohol and illicit substance A/D prior to accounting for familial factors (odds ratios: 1.8-4.5). After employing a co-twin analytical technique to control for familial factors, a lifetime diagnosis of MD remained significantly associated only with lifetime diagnoses of cannabis, amphetamine and sedative A/D (odds ratios: 2.3-10.9). These results suggest that the association between MD and alcohol A/D is influenced by familial factors. In contrast, the association between MD and illicit substances of A/D is largely explained by non-familial factors.