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The syndrome of major depression is widely regarded as a specific mental illness that has increased to the point where it will be second in the International Burden of Disease ranking by 2020. This article examines the assumption that major depression is a specific illness, that it is rapidly increasing, and that a medical response is justified. I argue that major depression is not a natural entity and does not identify a homogenous group of patients. The apparent increase in major depression results from: confusing those who are ill with those who share their symptoms; the surveying of symptoms out of context; the benefits that accrue from such a diagnosis to drug companies, researchers, and clinicians; and changing social constructions around sadness and distress. Standardized medical treatment of all these individuals is neither possible nor desirable. The major depression category should be replaced by a clinical staging strategy that acknowledges the continuous distribution of depressive symptoms. Trials that test social and lifestyle treatments as well as drugs and cognitive behavioral therapy across different levels of severity, chronicity, and symptom patterns might lead to the development of a coherent evidence-based stepped treatment model.