Affective disorders (AFDs) are highly comorbid with substance dependence (SD) and both are genetically influenced. However, the specific etiology of the comorbidity is not well understood. We genotyped an array of 1,350 single nucleotide polymorphisms (SNPs) in or near 130 genes in 868 European-Americans (EAs), including 182 individuals with primary AFDs (PAFDs), 214 with SD comorbid with AFD (CAFD), and 472 screened controls. NGFB, which encodes nerve growth factor β and was represented in the array by 15 SNPs, showed the strongest evidence of association, but only among women with PAFDs. Six of the SNPs showed nominally significant association with PAFDs in women (P's = 0.0007–0.01); three (rs2856813, rs4332358, and rs10776799) were empirically significant based on 1,000,000 permutations (P's = 0.008–0.015). Seven haplotypes were significantly associated with PAFDs in women (P's = 0.0014–0.01), of which six were significant based on empirical permutation analysis (minimal P = 0.0045). Four diplotypes were significantly associated with PAFDs in women (global P's = 0.001–0.01). The specific diplotype GG-TC, reconstructed from rs2856813 and rs6678788, showed the strongest evidence of association with PAFDs in women (OR = 4.07, P = 4.2E−05). No SNPs or haplotypes were associated with PAFDs in men or with CAFDs in either sex. We conclude that variation in NGFB is a risk factor for PAFDs in women, but not for CAFD. © 2011 Wiley-Liss, Inc.