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Prior research suggests that stressful life events are a significant risk factor for depression and that individuals are unequally impacted by these adversities due to gene-environment interactions. Implicit in this explanation is the assumption that adversities are exogenous to individuals' underlying risk of depression. Building on prior theoretical work on dynamic and contingent genetic selection, we suggest that genetic influences may lead to differential selection into adversities, forging a gene-environment correlation manifesting in various permutations of depressive behaviors and environmental adversities. Using data from a nationally representative survey of middle-aged adults, we examine the effect of genes on selection into 18 adverse experiences that have been associated with depression in previous scholarship. Results show that an index of the genetic burden of depression significantly predicts 5 of these adversities, at least 3 of which (unemployment, marital dissolution, and feeling disrespected) are not artifacts of selective reporting bias. In addition, drawing on data from a survey of independent raters, we demonstrate a positive link between the magnitude of genetic selection and the extent to which an adversity is considered dependent on behavior. Taken together, a more complex picture of the etiology of depression emerges: While some environmental exposures that have been previously viewed as triggers are indeed unrelated to individuals' underlying depression risk, others cannot easily be disentangled from genetic selection effects. These findings have implications for apprehending the causes of depression and invite a deeper exploration of durable inequalities in well-being generated by imperceptible genetic differences.