Depression and coronary heart disease (CHD) are leading contributors to disease burden in women. CHD and depression are comorbid; whether they have common etiology or depression causes CHD is unclear. The underlying pathology of CHD, coronary artery atherosclerosis (CAA), is present decades before CHD, and the temporal relationship between depression and CAA is unclear. The evidence of involvement of depression in early CAA in cynomolgus monkeys, an established model of CAA and depression, is summarized. Like people, monkeys may respond to the stress of low social status with depressive behavior accompanied by perturbations in hypothalamic-pituitary-adrenal (HPA), autonomic nervous system, lipid metabolism, ovarian, and neural serotonergic system function, all of which are associated with exacerbated CAA. The primate data are consistent with the hypothesis that depression may cause CAA, and also with the hypothesis that CAA and depression may be the result of social stress. More study is needed to discriminate between these two possibilities. The primate data paint a compelling picture of depression as a whole-body disease.