Depression a disabling chronic illness that crosses borders, cultures, and elements of society. It is well known that there are a number of risk factors for depression including younger age, racial minority status, female sex, presence of substance abuse disorders, chronic illness, and lower socio-economic status. Sexual minorities have been identified as being another group at higher risk for depression, but there have been methodological issues with much of the existing research on sexual orientation and depression. In this work, methodological issues such as grouping different mental illnesses, failing to differentiate by sex, and failing to differentiate by sexual orientation have been overcome to describe the relationship between sexual orientation and depression. Three population representative samples were analyzed using regression techniques to examine the relationship of depression and sexual orientation. The results were combined with existing literature in a meta-analysis. The findings were that overall lesbians, gay men, and bisexuals do not have higher prevalence of depression than heterosexuals. There were three important findings: 1) heterosexual identified men who have same-sex activity have highest risk for depression, 2) gay men may have lower risk for depression than heterosexual men, and 3) gay men in the Canadian Armed Forces differ from civilian counterparts with higher prevalence of depression. This work adds to the existing literature on mental health in sexual minority populations. Further research is needed to examine other mental health disorders and to identify differences in risks based on more complex measures of sexual orientation.