Examining associations between subtypes of major depressive disorder (MDD) and substance use disorders (SUDs) might elucidate mechanisms of comorbidity between MDD and SUDs. This study evaluated prospective relations between SUDs and melancholic MDD. A cohort of community-dwelling participants with lifetime history of MDD (N = 460) were assessed for DSM-IV mental disorders using structured clinical interviews at ages 24 and 30. Stimulant use disorders and melancholic MDD were prospective risk factors for each other over the 6-year-period following the age-24 assessment. Associations were robust when controlling for clinical severity/chronicity. Alcohol and cannabis use disorders were not robustly associated with melancholia.