Because of its high prevalence and implications for quality of life and possibly even disease progression, depression has been intensively studied in multiple sclerosis (MS) over the past 25 years. Despite the publication of numerous excellent empirical research papers on this topic during that time, the publication of theoretical work that attempts to explain depression in a comprehensive way is scarce. In this study, we present a theoretical model that attempts to integrate existing work on depression in MS and provide testable hypotheses for future work. The model suggests that risk for depression begins with the onset of MS. MS results in disease-related changes such as increased lesion burden/brain atrophy and immunological anomalies that are associated with depression in MS, but explain only a relatively limited proportion of the variance. Common sequelae of MS including fatigue, physical disability, cognitive dysfunction, and pain, have all been shown to have an inconsistent or relatively weak relationship to depression in the literature. In the model, we propose that four variables—social support, coping, conceptions of the self and illness, and stress—may moderate the relationship between the above common MS sequelae with depression and help to explain inconsistencies in the literature. (JINS, 2008, 14, 691–724.)