Major depressive disorder (MDD) is characterized by pervasive mood disturbance as well as deficits in emotional processing, reactivity, and regulation. There is accumulating evidence that MDD is characterized by emotional patterns consistent with environmental disengagement, as reflected in attenuated positive and negative emotional reactivity, consistent with Emotion Context Insensitivity (ECI) theory. However, MDD individuals vary considerably in the extent to which they exhibit specific alterations in patterns of emotional responding. Emotions are complex, multicomponent processes that invoke responses across multiple functional domains and levels of analysis, including subjective experience, behavior, autonomic regulation, cognition, and neural processing. In this article, I review the current state of the literature on emotional responding and MDD from the lens of ECI. I focus on the importance of assessing emotional indices from multiple levels of analysis across development and contexts. I also discuss methodological and measurement issues that may contribute to inconsistent findings. In particular, I emphasize how psychophysiological measures can help elucidate emotional processes that underlie the pathophysiology of MDD as part of an integrated and contextualized approach.