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Conspiratorial beliefs can endanger individuals and societies by increasing the likelihood of harmful behaviors such as political violence and the flouting of public health guidelines. While scholars have identified various correlates of conspiracy beliefs, one factor that has received scant attention is depressive symptoms. Depressive symptoms may be associated with a loss of control that conspiracy beliefs can counter by providing an antidote to uncertainty and distress. This relationship between depression and conspiratorial thinking, however, likely depends on other individual and situational factors. The researchers use three large surveys to document the connection between depression and conspiracy beliefs. While a relationship consistently exists, its extent depends on other factors: Variables that lead to an additional loss of control (e.g., illness) strengthen the relationship between depression and conspiracy beliefs, and those that provide a sense of control (e.g., social support) vitiate it. The results provide insight for the development of underappreciated interventions — treating depression with acute attention to those experiencing other sources of uncertainties can reduce conspiracy beliefs.