This article considers the relationship between depression and characterological masochism from a contemporary psychoanalytic perspective. Nosology is discussed historically from Krafft-Ebing to the DSM-III-R category, self-defeating personality disorder. Masochistic character traits are conceptualized as attempts to cope with depressed helpless and hostile feelings that have become part of the core self-concept. Psychotherapeutic strategy for treatment of masochistic patients at different levels of characterological integration is discussed. Many questions about self-defeating personality disorder remain open at present. The need for psychoanalytically informed clinical research on characterological masochism and particularly the relationship between masochism and depression is stressed.