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.