Fibromyalgia is noted for its association with both psychological stress and depression. However, the precise nature of these relationships remains contentious, as indicated by a large body of conflicting literature. Inconsistencies regarding the nature of stress in fibromyalgia are related to the poor characterization of biological stress systems in the different presentations of fibromyalgia. Similarly, conflicting literature regarding depression and fibromyalgia is likely due to the heterogeneous nature of both fibromyalgia and depression. Emerging evidence indicates that fibromyalgia and depression are both syndromes, which affects the way in which each disorder should be considered. In this review, the nature of stress and depression in the context of fibromyalgia will be discussed.