There are various hypotheses regarding comorbidity between alcohol dependence (AD) and major depression (MD). We interviewed 3372 pairs of male twins assessing DSM-III-R MD and AD. Individuals with comorbid MD and AD exhibited greater severity of each disorder than individuals with only one. MD in one twin was associated with risk of MD alone and MD plus AD, but not AD alone in the cotwin. AD in one twin was associated with risk of AD alone and AD plus MD, but not MD alone in the cotwin. The best fitting biometrical comorbidity model was the reciprocal causation model in which AD can cause MD and vice versa. However, a model in which genetic and environmental influences on each disorder were correlated could not be definitively rejected. Our data are most consistent with a mechanism of reciprocal causation, whereby MD increases risk for AD and AD increases risk of MD.