The occurrence of depression with asthma is very common, especially in women, and can influence behavioral factors, such as treatment compliance, self-assessment, and management of environmental triggers, that can collectively result in poor asthma management and control. This review describes the association and major clinical implications of stress, anxiety, and depression, and the associated hormonal changes frequently seen in women with poorly controlled asthma. Several validated instruments have recently been developed for screening patients for depression that can now be used and benefit patients with asthma by earlier detection of these confounding risk factors. The review also highlights the need for further delineation and characterization of specific underlying pathophysiologic and immunologic mechanisms responsible for depression in women.