Several factors have been proposed to explain the relationship between excess mortality and depressive disorders. These include mechanisms such as increased suicide rates, hazardous health behavior (smoking, alcohol use, unhealthy eating), psychologic reactions to developing a medical illness, biological dysregulations (hyperactivity of the hypothalamic pituitary adrenal, neuro-immune dysregulation, sympathoadrenergic dysregulation), and noncompliance with medical treatment. The evidence supporting the role of each of these mechanisms in excess mortality varies considerably. The causal direction in most of the mechanisms is not clear. It is possible that the explanatory factors, such as smoking, compliance, or biological mechanisms, cause depression, or that depression causes these factors, or that both are explained by a third, underlying factor. We will summarize the evidence supporting these mechanisms, and propose options for possible interventions aimed at reducing the increased risk of dying.