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We will understand depression only when understand the evolutionary origins and functions of the capacity for high and low mood. I use the terms high and low mood because the term depression, even mild depression, has become closely associated with pathology. The question is why individuals with a capacity for mood variation have a selective advantage over those with no capacity for mood. The general answer has been understood well for decades. Klinger's seminar work showed the utility of disengaging motivation from unreachable efforts. The first stage is to look for a new strategy to reach the goal, or just to wait for a better time. If nothing works and efforts seem likely to never succeed, motivation disengages completely and turns to some other more achievable goal. If a person for some reason cannot give up an unreachable goal, as is often the case for things like finding a job, keeping a partner, or helping a child, persistance escalates ordinary low mood into clinical depression. This is not to say that all depression results from pursuing unreachable goals. It is clear that much arises from primary brain abnormalities in people whose lives are otherwise potentially satisfying. However, in my clinical work, I find that asking the question reveals new complexities about half of the time. Identifying an unreachable goal is only the barest starting point for treatment. Nothing could be more stupid and cruel than to just tell people to give up their goals. But nothing can be more empowering than being deeply understood by someone who tries to understand what you are trying to do, and why you cannot stop despite no hope of success.

Fried & Nesse: Depression sum scores don't add up. BMC Medicine 2015, 13:72  doi:10.1186/s12916-015-0325-4

Nesse RM: What good is feeling bad? The evolutionary utility of psychic pain. The Sciences, 30-37, Nov./Dec. 1991.

Nesse RM: Natural selection and the elusiveness of happiness. Philos Trans R Soc Lond B Biol Sci; 359(1449):1333-47, 2004

This article shows that depression is not one thing, and that different symptoms arise depending on the nature of the situation, and that these symptoms are those expected in the situation. 

Nesse & Stein: Towards a genuinely medical model for psychiatric nosology, BMC Medicine, 2012
A manifesto encouraging a truly medical approach to psychiatric diagnosis, one that recognizes emotions as symptoms, not diseases. 

Grief is sadness adapted to the special situation of loss of a loved one. 

Nesse RM: An evolutionary perspective on psychiatry. Comparative Psychiatry 25:575-580, 1984
An early overview of what evolutionary biology provides for psychiatry.

Nesse RM: What good is feeling bad? The evolutionary utility of psychic pain. The Sciences, 30-37, Nov./Dec. 1991.
An informal short overview of how negative feelings can be useful, with lovely illustrations

Nesse RM: What is mood for? Psycholoquy 2: Issue 9.2, November 24, 1991. Replies to commentaries:
An early statement about the utility of moodNesse RM Emotional Disorders in Evolutionary Perspective. British Journal of Medical Psychology 71:397-415, 1998.
Some focus on depression, in an article on how evolution can help explain emotional disorders

Nesse RM Is depression an adaptation? Archives of General Psychiatry, 57: 14-20, 2000.
This is the classic statement, the widely cited first article for the new millenium in The Archives

Nesse RM. Explaining depression: Neuroscience is not enough, evolution is essential. In: Pariente CM, Nesse RM, Nutt DJ, Wolpert L, editors. Understanding depression: A translational approach. Oxford, UK: Oxford University Press. p. 17-36, 2009.
Best current statement of my ideas about depression

Nesse, RM: Motivation and Melancholy: A Darwinian perspective. Nebraska Symposium on Motivation 47:179-203, 2001
A general treatment of motivation and mood

Nesse RM: Natural selection and the elusiveness of happiness. Philos Trans R Soc Lond B Biol Sci; 359(1449):1333-47, 2004
If natural selection is so great, why are we so prone to anxiety and depression? The answer is here.

Nesse, RM: Evolutionary Psychology and Mental Health. Pages 903-937 in Handbook of Evolutionary Psychology, Edited by David Buss, John Wiley and Sons, Hoboken , NJ, 2005.
The most comprehensive statement of how evolutionary biology can help us to understand and treat mental disorders

Nesse, RM: Evolutionary explanations for mood and mood disorders. The American Psychiatric Publishing Textbook of Mood Disorders, edited by Daniel J. Stein , David J. Kupfer, and Alan F. Schatzberg, American Psychiatric Publishing, Washington DC, pp. 159-175, 2006.
This textbook chapter is the best starting place for clinical professionals who treat depression

Keller, MC, Nesse, RM: The Evolutionary Significance of Low Mood Symptoms. , Journal of Personality and Social Psychology, 91(2):316-30, 2006. .
This article provides evidence that the symptoms of depression vary systematically depending on the cause.
See also: Keller, M. C., Nesse, R. M. Subtypes of low mood provide evidence of its adaptive significance. Journal of Affective Disorders, 86 (1): 27-35, 2005.

Nesse, RM: An evolutionary perspective on bereavement. In Carr D, Nesse R, Wortman CB: Late Life Widowhood in the United States, Springer, 2005, pp. 195-226.
A summary of the evolutionary origins and functions of grief, based on an extensive prospective research project

Nesse RM: Darwinian medicine and Mental Disorders. Elsevier International Congress Series, 1296:83-94, 2006.
A brief overview based on a conference presentation

Nesse RM. Evolution at 150: time for truly biological psychiatry. The British Journal of Psychiatry.December 1, 2009;195(6):471-2, 2009.
An editorial on the importance of evolution for understanding depression and schizophrenia