A high prevalence of depression is found in people with coeliac disease (CD). People with CD who are depressed are less likely to manage their illness effectively, which may lead to complications. Identification of variables associated with depression in people with CD may facilitate early detection and intervention. Participants were 749 members (125 males, 622 females) of the Queensland Coeliac Society (aged 18–88 years), recruited via a mailout. Participants completed the Modified Zung Self-Rating Depression Scale, the Perceived Stress Scale, and the Perceived Consequences Subscale (from the Revised Illness Perception Questionnaire). Stress (p = .001) and comorbid medical illness (p = .01) were significantly associated with depression in CD. The current study made an original contribution to the body of literature by identifying stress and comorbid medical illness as predictors of depression in CD.