Alcohol use disorder (AUD) and depressive disorders are among the most prevalent psychiatric disorders and co-occur more often than expected by chance. The aim of this review is to characterize the prevalence, course, and treatment of co-occurring AUD and depressive disorders. Studies have indicated that the co-occurrence of AUD and depressive disorders is associated with greater severity and worse prognosis for both disorders. Both pharmacologic and behavioral treatments have demonstrated efficacy for this population. However, treatment response is somewhat modest, particularly for drinking outcomes, highlighting the importance of further research on the etiology and treatment of co-occurring AUD and depressive disorders. Key future directions include studies to understand the heterogeneity of both AUD and depressive disorders, research on novel treatment approaches to enhance outcomes, and better understanding of sex and gender differences.