Depressed mood and the psychiatric diagnosis of major depressive episode (MDE) are common findings in patients with chronic fatigue syndrome (CFS). The relationship between depression and CFS is unclear and may be explained by one of four models: (1) CFS is an atypical manifestation of MDE; (2) depression is the result of CFS as either an organic mood syndrome or an adjustment reaction; (3) CFS and MDE are covariates; and (4) the diagnosis of MDE is artifactual. The evidence for these models is discussed. The potentially confounding effect of depression on tests of immune function and neuropsychological testing is described. The implications of these different models for the design of studies of CFS are examined.