Objectives To compare the health care and opportunity costs of three common health problems [depressive disorders, reproductive tract infections (RTIs) and anaemia] affecting women and their associated risks of catastrophic health expenditure (defined a priori as out-of-pocket expenditure on health care exceeding 10% of the total monthly household income). Methods Cross-sectional survey of 2494 women who consented to participate, from a randomly selected sample of 3000 women aged 18-50, living in the catchment area of a primary health centre in Goa, India. Depressive disorders were diagnosed with the Revised Clinical Interview Schedule; anaemia on the basis of a fingerprick sample of blood using the Haemocue system; and RTI using PCR, culture and microscopy with vaginal or urine specimens. Economic consequences were measured using the Costs of Illness Schedule and the WHO Disability Assessment Schedule. Health provision costs were calculated using previously derived unit costs for services for the main types of health care provider. Results Catastrophic health expenditure, defined a priori as >10% of total household income spent out of pocket on health in the previous month, was reported by 138 women (5.5%; CI: 4.7-6.5%); they were more likely to report economic difficulties, such as having gone hungry in the past 3 months because of lack of money (OR 1.99, CI 1.1-3.6, P = 0.02). Only depressive disorder was associated with significantly higher health care costs, lost time costs and risk of catastrophic health expenditure (OR 2.66, CI 1.6-4.4, P < 0.001, after adjustment for possible sociodemographic confounders and other physical health problems). There was a linear association between the psychological morbidity score (arranged into quintile groups) and the risk of catastrophic health expenditure (adjusted). Conclusions If economic arguments were considered a key driver for global health policy, then depressive disorder should be considered a major health priority for women in developing countries.