Background: Although the association between asthma and psychosocial factors has long been recognised, it is only in the last decade that the impact of coexisting asthma and depression has become the focus of considerable research interest. However, the findings so far have been confusing and often contradictory. This paper sets out a methodical review and appraisal of the literature to date, including suggestions for future research. Method: PubMed and PsycINFO databases were used to search for English-language articles relating to asthma and depression research. The resulting articles were then reviewed and summarised, creating a report that was used to develop research recommendations. Results: The main findings from this review included: (a) results are mixed as to whether persons with asthma are more likely to be depressed than those without asthma; (b) asthma and depression may have an 'additive' adverse effect on the normal asthma-related quality of life reductions; (c) subjective measures of asthma severity may be more strongly related to depression than objective measures; (d) specific asthma symptoms appear to be linked to depression; (e) sadness and depression can produce respiratory effects consistent with asthma exacerbations; (f) depression appears to be negatively related to asthma treatment compliance; (g) corticosteroid use in asthma treatment has been associated with depression, though it is unclear how common this problem is in real life; (h) interventions that address the physical, psychological, and social consequences of asthma are likely to lead to the most successful treatment outcomes; (i) treating the depression of individuals with asthma is likely to minimise the negative effects of the coexistence; and (j) a number of common methodological problems were observed in the literature. Recommendations: There is a large amount of research yet to be undertaken to clarify issues around asthma and depression, with the overdue next step being to design integrated treatment approaches, and carry out large-scale prospective studies to determine the impact of using such approaches to treat individuals with depression and asthma. Such studies will be the only way in which some fundamental questions about the development and coexistence of these two conditions will be answered.