Chronic pain disorders have been associated separately with neuropsychiatric conditions such as depression and alcohol abuse. However, in individuals who suffer from non-cancer chronic pain disorders, it is not clear if the burden of depressive disorders is similar for those with and without a history of alcohol abuse. Using data from the Collaborative Psychiatric Epidemiology Surveys (CPES), we found depressive disorders to have a high burden in men and women with a history of alcohol abuse, independently of the presence or absence of chronic pain. We also found that, although the incidence of persistent depressive disorder was comparable in men and women with a history of alcohol abuse, and significantly higher than in control men and women, the incidence of a major depressive episode was higher in women with a history of alcohol abuse independently of the presence or absence of chronic pain. The age of onset of depressive disorders, independently of pain status, was younger for individuals with a history of alcohol abuse. The findings of this study have important implications for the clinical management of individuals who suffer from chronic pain comorbidly with depression and/or alcohol abuse.