The association between major depressive disorder (MDD) and self-reported histories of specific physical illnesses was investigated in 320 controls and 1968 first-degree relatives and 254 spouses of probands in the NIMH Collaborative Depression study. The Schedule for Affective Disorders and Schizophrenia-Lifetime Version was used to assign Research Diagnostic Criteria (RDC) diagnoses and a structured self-report instrument was used to assess lifetime medical history. Lifetime MDD was diagnosed in 914 subjects, 402 of whom had been hospitalized or received somatic treatment (‘treated’ MDD). Strong associations were observed between MDD (either treated or untreated) and both frequent/severe headaches and migraine headaches. There was a marked gender effect such that the relative odds for a woman with treated MDD to report migraine were over 5:1. Other associations were found between MDD and skin infections, respiratory illness, ulcer, hypotension, and diabetes. This is the largest non-patient sample using standardized assessment of mental disorders by direct interview in which associations between specific physical illnesses and MDD have been demonstrated. Implications for clinical practice and neurobiological research in depression are discussed.