Objectives: We sought to identify and consider methodological issues that may have limited or confounded investigations into links between depression and acute coronary syndrome (ACS) events. Methods: We reviewed salient research studies to identify such issues. Results: Against previous conclusions, we found that lifetime depression is unlikely to have any primary ACS impact, while we clarify that ‘incident depression’ (depression commencing at variable periods around the time of the ACS event) appears to confer a greater risk than non-incident depression. As the time periods of incident depressions are likely to have quite differing causes, evaluating any consolidated risk period appears unwise. It remains unclear whether it is ‘depression’ that provides the risk for ACS events or a higher order factor. Variable use of depression measures and failure to evaluate depressive sub-types have further limited clarification. The response by ACS patients to antidepressant medication appears limited, and it remains to be determined whether exposure to an antidepressant might be a contributing factor. Finally, studies may have focused on an excessively refined association, and neglected to recognise that depression is associated with a wide range of vascular events, suggesting that a broader conceptual model may be required. Limitations: The authors have considered only a limited set of studies in preparing this review, with the critique relying at times on subjective interpretation. Conclusions: After decades of research pursuing links between depression and ACS events explanatory links remain obscure, presumably reflecting a range of methodological issues that we have discussed in this paper.