Data from a nationally representative sample of the general population are used to study cohort differences in the prevalence of DSM-III-R Major Depressive Episode (MDE). We document increasing lifetime prevalence of MDE among both men and women in more recent cohorts, but no major change in the sex ratio over the 40-year period retrospectively covered in the survey. We find a cohort difference in 12-month MDE, with older women much more likely than older men to have recurrent episodes. This sex difference in recurrence plays an important part in the elevated 12-month prevalence of depression among women compared to men in the 45-54 age range.