More than 200 million prescriptions are written annually for opioid analgesics despite limited evidence of their long-term efficacy. These medications currently are prescribed to 10% - 15% of Americans with use of long-acting opioids projected to double in the next three to four years. Despite this widespread use, little is known about the risks of opioids, particularly with chronic use. New data from our research group published in the Journal of General Internal Medicine provides clear evidence that prescription opioid used for non-cancer, non-HIV pain increases significantly the risk of development of major depressive disorder in opioid naïve individuals with no recent history of depression and substance used disorders. The risk of depression increased as the dose and/or the duration of opioid use increased. The purpose of the present paper is to elucidate the details of this study, to examine potential neurobiological mechanisms responsible for the depressogenic effect of opioid analgesics, and to discuss management options that emphasize depression prophylaxis.