Background Cross-sectional studies have reported associations between allergies and major depression but in the absence of longitudinal data, the implications of this association remain unclear. Our goal was to examine this association from a longitudinal perspective. Methods The data source was the Canadian National Population Health Survey (NPHS). This study included a short form version of the Composite International Diagnostic Interview (CIDI-SF) to assess major depression and also included self report items for professionally diagnosed allergies of two types: non-food allergies and food allergies. A longitudinal cohort was followed between 1994 and 2002. Proportional hazards models for grouped time data were used to estimate unadjusted and adjusted hazard ratios. Results A slightly increased incidence of non-food allergies in respondents with major depression was observed: adjusted hazard ratio 1.2 (95% 1.0 – 1.5, p = 0.046). Some evidence for an increased incidence of major depression in association with non-food allergies was found in unadjusted analyses, but the association did not persist after multivariate adjustment. Food allergies were not associated with major depression incidence, nor was major depression associated with an increased incidence of food allergies. Conclusion Findings from the present study support the idea that major depression is associated with an increased risk of developing non-food allergies. An effect in the opposite direction could not be confirmed. The observed effect may be due to shared genetic factors, epigenetic factors, or immunological changes that occur during depression.