Posttraumatic stress disorder is often diagnosed with other mental health problems, particularly depression. Although PTSD comorbidity has been associated with more severe and chronic symptomology, relationships among commonly co-occurring disorders are not well understood. The purpose of this study was to review the literature regarding the development of depression comorbid with combat-related PTSD among military personnel. We summarize results of commonly tested hypotheses about the etiology of PTSD and depression comorbidity, including (1) causal hypotheses, (2) common factor hypotheses, and (3) potential confounds. Evidence suggests that PTSD may be a causal risk factor for subsequent depression; however, associations are likely complex, involving bidirectional causality, common risk factors, and common vulnerabilities. The unique nature of PTSD–depression comorbidity in the context of military deployment and combat exposure is emphasized. Implications of our results for clinical practice and future research are discussed.