Risk behaviors, including tobacco, alcohol, and drug use, are common in adolescents and young adults. Those who engage in one risk behavior are likely to engage in additional health risk behaviors, and as the number of risk behaviors increase, depression comorbidity emerges. For young people with chronic illness, risk behavior and depression are also common. There is some evidence that both depression and risk behavior are associated with nonadherence to medications, poor treatment outcomes, and death. The relationship between depression and asthma may involve more than one causal pathway and includes the possibility that depression can lead to a sense of hopelessness that erodes adherence and other health-promoting behavior, or that depression impacts asthma directly by altering the immune system. An assessment of the interplay between risk behavior, depression, adherence, and asthma can add important new information to our understanding about how to identify and treat those at greatest risk for poorly controlled disease and asthma-related death. New behavioral studies must overcome the shortcomings frequently seen in previous research and include well-designed and controlled investigations using valid behavioral measures of risk behavior, mood disorder, and adherence; recruitment that includes sufficient numbers of subjects and gives careful consideration of selection bias; and employment of multivariate data modeling to allow for simultaneous statistical examination of multiple relationships.