Background: There are data to suggest low bone mineral density is disproportionately prevalent among those with psychiatric disorders. This paper aims to review the current evidence on the relationship between depression and bone mineral density, and identify potential mechanisms. Methods: Relevant sources were identified from the Pubmed and Web of Science (ISI) databases from the first relevant publication in 1994 to the present, 2007, using a combination of key words and terms including depression, major depressive disorder, osteoporosis, bone mineral density, hypothalamic-pituitary-adrenal axis, cortisol, cytokines, leptin, antidepressants, selective serotonin reuptake inhibitors, smoking, alcohol, physical activity and diet. Reference lists of chosen articles were further reviewed for associated publications. Results: The possible association between psychiatric illness, in particular depression, and osteoporosis has been the subject of a growing body of research yielding various findings, although most identify some effect on bone. In addition to medication-related processes and/or modifiable lifestyle factors associated with mood disturbances, endocrine and immune alteration secondary to depression may play a pathogenetic role in bone metabolism. Conclusions: Additional longitudinal studies, with the advantage of temporal sequencing, remain to be conducted, as well as research into potential mechanisms surrounding the association. Nevertheless, the current findings are of clinical relevance, given the health burden of both depression and osteoporosis.