Data from large representative epidemiological samples, such as the National Co-morbidity Survey Replication, indicate high co-occurrence of major depressive disorder and alcohol misuse and dependence. Possible mechanisms include common risk factors, affective disorder inducing alcohol use, and alcohol use inducing affective disorder. Overall the findings for a common predisposition are not very strong, but common genetics contributing to the induction of both disorders seem to include the cholinergic muscarinic 2 receptor gene, clock genes and possibly MTHFR. Attempts to group depression and alcoholism into alcohol-induced depression and depression as an independent disorder, or alternatively into externalizing and internalizing alcoholics (characterized by high levels of anxiety and depression), have not gained common acceptance. Data indicate more than one pathway, with differences in subgroups specifically for males and females. A possible mechanism underlying the co-occurrence may be stress vulnerability and alteration of stress vulnerability within the context of major depressive disorder and chronic alcohol use. The interaction seems to be specifically pertinent for an increased risk of relapse. Our understanding of alcohol dependence and major depressive disorder has been based to a considerable degree on animal models. Preclinical co-morbidity studies so far have been rare; one reason being that results vary substantially according to the applied model. Currently the gene/environment interaction and the role of epigenetic processes are increasingly getting into the focus of research, which promises to further our understanding of the mechanism of co-morbidity for alcoholism and major depressive disorder.