The objective of this study was to investigate the effect of persistent alcohol consumption on the risks of major and minor depression. A retrospective cohort study design was used. The data was derived from a large scale longitudinal national health study (Canadian National Population Health Survey). Depression status was evaluated by using the Composite International Diagnostic Interview-Short Form (CIDI-SF) for major depression. Subjects who did not have major depression at baseline were classified into groups according to the persistence of alcohol consumption during the follow-up period. The incidence of major depression in each group was calculated in men and in women separately and were stratified by age. The same procedures were repeated for minor depression. Women who reported having 5+ drinks on one occasion at least once a month were at an elevated risk of major depression. The same pattern was not observed among men in this analysis. However, no difference was found between the groups in terms of the incidence of minor depression. Frequent heavy alcohol use may be a causal factor for major depression among women. Reducing the frequency and quantities of alcohol consumption may offer an opportunity for prevention of major depression among women.