Women are more depressed than men, and more frequently victimized. We explored the possibility that childhood sexual abuse (CSA) and adult victimization account for the higher levels of depression in women. Depressive symptoms and victimization histories were compared in a sample of 91 men and 76 women seeking out-patient psychotherapy. The women were more depressed, and more likely to have a history of CSA than the men. CSA accounted for a significant proportion of the sex difference in depression levels. The women also were more likely to have been victimized as adults than were the men. However, adult victimization was not associated with higher depression levels, and, therefore, did not account further for the sex difference.