Depression--be it a formal diagnosis based on consensus clinical criteria, or a collection of symptoms revealed by a self-report rating scale--is common in patients with multiple sclerosis (MS) and adds substantially to the morbidity and mortality associated with this disease. This Review discusses the prevalence and epidemiology of depression in patients with MS, before covering aetiological factors, including genetics, brain pathology, immunological changes, dysregulation of the hypothalamic-pituitary-adrenal axis, and psychosocial influences. Treatment options such as antidepressant drugs, cognitive-behavioural therapy, mindfulness-based therapy, exercise and electroconvulsive therapy are also reviewed in the context of MS-related depression. Frequent comorbid conditions, namely pain, fatigue, anxiety, cognitive dysfunction and alcohol use, are also summarized. The article then explores three key challenges facing researchers and clinicians: what is the optimal way to define depression in the context of diseases such as MS, in which the psychiatric and neurological symptoms overlap; how can current knowledge about the biological and psychological underpinnings of MS-related depression be used to boost the validity of this construct; and can intervention be made more effective through use of combination therapies with additive or synergistic effects, which might exceed the modest benefits derived from their individual components?