Depression and multiple musculoskeletal disorders are overrepresented in women compared with men. Given that depression is a modifiable risk factor and improvement of depressive symptoms increases positive outcomes following orthopedic intervention, efforts to improve clinical recognition of depressive symptoms and increased action toward ameliorating depressive symptoms among orthopedic patients are positioned to reduce complications and positively affect patient-reported outcomes. Although psychosocial factors play a role in the manifestation and remittance of depression, it is also well appreciated that primary biochemical changes are capable of causing and perpetuating depression. Unique insight for novel treatments of depression may be facilitated by query of the bidirectional relationship between musculoskeletal health and depression. This Review aims to synthesize the diverse literature on sex, depression, and orthopedics and emphasize the potential for common underlying biological substrates. Given the overrepresentation of depression and musculoskeletal disorders among women, increased emphasis on the biological drivers of the co-occurrence of these disorders is positioned to improve women's health.