Growing evidence indicates that depression is an important primary and secondary risk factor for coronary heart disease (CHD). Depression is quite common among patients with CHD: prevalence estimates are 14% or higher, and an additional 20% of patients have subclinical or minor depression. This review summarizes evidence that depression is a risk factor for cardiac events in patients with established CHD, suggests potential mechanisms underlying the relationship between depression and adverse cardiac outcomes, and provides evidence for the efficacy of exercise in improving both depression and clinical outcomes in depressed patients with CHD.