Depression affects the lives of millions of people. One of depression's many negative side effects is substance abuse. We sought to answer the question "Does depression influence substance abuse?" We meta-analyzed 15 empirical studies that measured the relationship between depression and substance abuse. The overall weighted effect size was d = 0.32. For studies that used clinical samples (people with either major depressive disorder or substance abuse disorder), the effect size was much larger (d = 0.73) than non-clinical samples (d = 0.31). Further, the relationship between depression and substance abuse depended heavily on which substances were used. Street drugs showed much stronger relationships with depression (LSD d = 4.32, inhalants d = 2.26, cocaine d = 1.11) than more readily available drugs (marijuana d = 0.90, alcohol d = 0.66, nicotine d = 0.43, pain killers d = 0.38).