Coronary heart disease (CHD) and depression are both highly prevalent in women. Importantly, depression is associated with significantly elevated morbidity and mortality in women with CHD. There are intriguing speculations about biological mechanisms underlying this association, such as endothelial dysfunction, subclinical atherosclerosis, inflammation, and autonomic dysregulation. Social and behavioral mechanisms, such as lack of social support and physical inactivity, have also been shown to play important roles. Unfortunately, many randomized clinical trials of counseling and pharmacologic interventions for depression in patients with CHD have failed to improve cardiovascular outcomes, and in fact have raised the possibility that interventions might be harmful in women. Several recent trials of new treatment strategies, however, have been more effective in improving depressive symptoms and quality of life and deserve further investigation. In this review, we summarize recent findings with regards to the epidemiology, etiology, diagnosis, and management of depression in women diagnosed with CHD.