Background: This study explored the relatively neglected role of chronic stress in major depression, examining the independent contributions of co-occurring chronic and acute stress to depression, whether chronic stress predicts acute life events, and whether the two types of stress interact such that greater chronic stress confers greater sensitivity—or resistance—to the depressive effects of acute stressors. Methods: From a sample of 816 community women, those who had a major depression onset in the past 9 months and those without major depressive episodes (MDE) onset and with no history of current or recent dysthymic disorder were compared on interview-based measures of antecedent acute and chronic stress. Chronic stress interviews rated objective stress in multiple everyday role domains, and acute stress was evaluated with contextual threat interviews. Results: MDE onset was significantly associated with both chronic and acute stress; chronic stress was also associated with the occurrence of acute events, and there was a trend suggesting that increased acute stress is more strongly associated with depression in those with high versus low chronic stress. Conclusions: Results suggest the importance of including assessment of chronic stress in fully understanding the extent and mechanisms of stress–depression relationships. Depression and Anxiety, 2009. Published 2009 Wiley-Liss, Inc.