Conspiratorial beliefs can endanger individuals and societies by increasing the likelihood of harmful behaviors such as the flouting of public health guidelines. While scholars have identified various correlates of conspiracy beliefs, one factor that has received scant attention is depressive symptoms. We use three large surveys to explore the connection between depression and conspiracy beliefs. We find a consistent association, with the extent of the relationship depending on individual and situational factors. Interestingly, those from relatively advantaged demographic groups (i.e., White, male, high income, educated) exhibit a stronger relationship between depression and conspiracy beliefs than those not from such groups. Furthermore, situational variables that ostensibly increase stress--such as having COVID-19 or parenting during COVID-19--exacerbate the relationship while those that seem to decrease stress, such as social support, vitiate it. The results provide insight about the development of targeted interventions and accentuate the need for theorizing about the mechanisms that lead depression to correlate with conspiracy beliefs.