An extensive body of research documents the high prevalence of comorbidity among child and adolescent disorders in general and between conduct problems and depression in particular. These problems co-occur at significantly higher rates than would be expected by chance and their comorbidity may have significant implications for nosology, treatment, and prognosis. Four main hypotheses have been put forth to account for these high rates of comorbidity. First, comorbidity may be a result of shortcomings associated with referral or informant biases. Second, comorbidity may be an artifact of overlapping definitional criteria. Third, one disorder may cause the other disorder by influencing the developmental trajectory and placing an individual at increased risk for further difficulties. Finally, comorbidity between two disorders may be explained by shared underlying causal or risk factors. The purpose of this review is to explore these possibilities, concentrating primarily on the common risk factors of parent psychopathology, emotion regulation, and cognitive biases that may underlie the co-occurrence of these two disorders. Based on our review, we propose a model for the development of comorbidity between these two disorders.