Dramatic increases in the American imprisonment rate since the mid-1970s have important implications for the life chances of minority men with low educational attainment, including for their health. Although a large literature has considered the collateral consequences of incarceration for a variety of outcomes, studies concerned with health have several limitations: Most focus exclusively on physical health; those concerned with mental health only consider current incarceration or previous incarceration, but never both; some are cross-sectional; many fail to consider mechanisms; and virtually all neglect the role of family processes, thereby overlooking the social roles current and former prisoners inhabit. In this article, we use stress process theory to extend this research by first considering the association between incarceration and major depression and then considering potential mechanisms that explain this association. Results from the Fragile Families and Child Wellbeing Study (N = 3,107) show current and recent incarceration are substantially associated with the risk of major depression, suggesting both immediate and short-term implications. In addition, consistent with stress proliferation theory, the results show the well-known consequences of incarceration for socioeconomic status and family functioning partly explain these associations, suggesting the link between incarceration and depression depends heavily on the consequences of incarceration for economic and social reintegration, not only the direct psychological consequences of confinement.