The associations between social support and depression, and between stress and depression have been the subject of considerable research, and although this has included longitudinal designs, these have rarely controlled for genetic effects that mediate these associations. The sample comprised 7,356 female and 4,882 male participants aged 18–95 from the Australian NHMRC Twin Registry (ATR). Of these, between 100 and 324 female pairs and between 41 and 169 male pairs, depending on the measure, were monozygotic (MZ) pairs discordant for depression. We use the co-twin control design in combination with prospective analyses to explore the association between a composite of predictors (perceived social support, stress, and support × stress) and depression. With familial effects included, both perceived support and stress were antecedents to, and sequelae of, depression, but no stress-buffering occurred. With familial effects controlled, stress was a sequela of a prior depressive episode, and neither lack of support nor stress were antecedents to depression, though their interaction approached significance for males. The male twin who later became depressed had previously reported lower perceived support in the face of multiple stressors compared to his co-twin who did not become depressed. We show that associations commonly observed with prospective designs are partly due to familial factors.