Far-reaching progress of treatment and prevention of depressive disorders is still limited, mainly due to the multifactorial determinants of these disorders and the restricted knowledge of their aetiology. Stressful socio-environmental conditions represent one of the multifactorial determinants, and in view of the centrality of work and employment for human well-being, research on health-adverse psychosocial work environments turned out to be a promising line of scientific inquiry. During the past three decades, respective research focused mainly on three theoretical models of adverse psychosocial work and their measurement in prospective epidemiologic studies, termed "demand-control," "effort-reward imbalance," and "organizational injustice." This report provides a review of current evidence on their associations with depression, based on several systematic reviews and updated by most recent publications. Moreover, it discusses the conceptual and methodological strengths and weaknesses of these associations. In summary, the results of more than 40 cohort studies from a variety of Western modern societies confirm that stressful work in terms of these models is associated with a moderately increased risk of subsequent onset of depression. While this knowledge is considered robust enough to instruct efforts of primary and secondary prevention, several methodological challenges still need to be resolved by future research.