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Some Christian literature aimed at depression sufferers connects depression to sin by claiming that depression is a sin or the result of sin. Although this idea is criticized by many Christians and non-Christians, it is difficult to pinpoint what exactly is wrong with it. This paper seeks to address this problem, focusing on a common premise of the "depression is a sin" claim: that it is within a person's power to recover, such that remaining depressed is a choice. This claim is held not only by Christians who believe depression to be a sin, but also by other religious and nonreligious voluntarists, who believe depression to be under the control of the will. I object to this idea by pointing to accounts that indicate that one widespread feature of depression is an experience of diminished free will, and argue that this means that asserting the possibility of making choices that are relevant to recovery in the context of all depression is misplaced. I then turn from the question of whether "depression is a choice" claims are true, to whether they are helpful, and argue that although it could be argued that they are helpful in some cases, this argument would be inconclusive, would not apply to all cases, and would not the case for more severe forms of depression. Finally, I reflect on the pastoral and clinical implications of the discussion.