Within the past 20 years, depression research has given increasing consideration to the possibility of complex and reciprocal relations between stress and depression. Not only does stress increase risk for depression (i.e., a stress exposure model of depression), but depression, or depressogenic vulnerabilities, in turn, also increases susceptibility to stressful events that are at least in part influenced by the individual (i.e., stress generation; Hammen, 1991). The present review provides a systematic examination of the stress generation literature to date, with specific focus given to depression and depressogenic risk factors (i.e., past stress, negative cognitive styles, and personality and interpersonal vulnerabilities) as predictors of the stress generation effect, as well as gender differences in stress generation, the sequelae of generated stress, and the relative specificity of this phenomenon to depression. The research thus far appears most consistent in supporting the role of depression in predicting generated stress, although more research is still required. In addition to highlighting these findings, methodological limitations and conceptual gaps in the literature are discussed with the view of informing future research in this area.