Depressed individuals report higher rates of stressful life events, especially those that have occurred in part because of the person's characteristics and behaviors affecting interpersonal interactions. Termed stress generation, this phenomenon draws attention to the role of the individual as an active contributor rather than passive player in his or her environment, and is therefore an example of action theory. In this article, the author speculates about the intellectual origins of her stress generation perspective, and notes somewhat similar transactional approaches to the stress-disorder link outside of depression research. The literature on stress generation in depression is reviewed, including studies that attempt to explore its correlates and predictors, covering clinical, contextual, family, genetic, cognitive, interpersonal, and personality variables. Empirical and conceptual gaps in our understanding of processes contributing to stressors in the lives of depressed people remain. The author concludes with suggestions for further research, with the goal of furthering understanding both of mechanisms of depression and of dysfunctional interpersonal processes, as well as development of effective interventions to help break the stress-recurrence cycle of depression. © 2006 Wiley Periodicals, Inc. J Clin Psychol 62: 1065–1082, 2006.