Improved methods of assessment and research design have established a robust and causal association between stressful life events and major depressive episodes. The chapter reviews these developments briefly and attempts to identify gaps in the field and new directions in recent research. There are notable shortcomings in several important topics: measurement and evaluation of chronic stress and depression; exploration of potentially different processes of stress and depression associated with first-onset versus recurrent episodes; possible gender differences in exposure and reactivity to stressors; testing kindling/sensitization processes; longitudinal tests of diathesis-stress models; and understanding biological stress processes associated with naturally occurring stress and depressive outcomes. There is growing interest in moving away from unidirectional models of the stress-depression association, toward recognition of the effects of contexts and personal characteristics on the occurrence of stressors, and on the likelihood of progressive and dynamic relationships between stress and depression over time-including effects of childhood and lifetime stress exposure on later reactivity to stress.