The effect of alcohol use on the relationship between stress and depression in US-born Mexican American men, Mexican Americans born in Mexico, and non-Hispanic Whites born in the United States was examined in a sample obtained from the Los Angeles Epidemiological Catchment Area study. Chronic stress, measured by financial strain, and acute stress, measured by negative-life events, were included in the analysis. Alcohol use was measured through a combination of frequency, quantity, and binging behavior. Non-Hispanic Whites were found to have a U-shaped relationship in which moderate drinkers, in the presence of stress, had lower levels of depression than did heavy drinkers and abstainers. No such U-shaped relationship for Mexican Americans born in the United States was indicated. Mexican Americans born in Mexico had a more J-shaped relationship, with abstainers through moderate drinkers having lower mean depression scores than did heavy drinkers.