This study took place in eastern Massachusetts and included respondents from the Harvard Study of Moods and Cycles Cohort 1, enrolled between 1995 and 1997, and the Harvard Study of Moods and Cycles Cohort 2, enrolled between 2005 and 2009. In prospectively assessing rates of new-onset depression in 2 populations of late-reproductive-aged women with no Diagnostic and Statistical Manual of Mental Disorders (Fourth Edition) lifetime history of depression, we were surprised to find far lower rates of depression in the population with greater racial diversity and lower socioeconomic status, contrary to what had been reported in the scientific literature. To better understand why these disparate results occurred, we assessed confounding and outcome misclassification as potential explanations for the discrepancy. After determining that these were unlikely explanations for the findings, we explored 2 potential sources of selection bias: one induced by self-referral of healthy participants into the study and the other induced by the design of the study itself. We concluded that both types of selection bias were likely to have occurred in this study and could account for the observed difference in rates.