There is an extremely high rate of comorbidity between Dysthymic Disorder (DD) and Major Depressive Disorder (MDD). We used family study data to test four competing models of the relationship between DD, MDD, and comorbid DD/MDD: (1) DD, MDD, and DD/MDD are all variants of a single condition; (2) MDD and DD/MDD are similar, but differ from DD; (3) DD and DD/MDD are similar, but differ from MDD; and (4) all three conditions are distinct disorders. Subjects were the first-degree relatives of 22 outpatients with DD (n = 103), 45 outpatients with MDD (n = 207), 75 outpatients with comorbid DD/MDD (n = 343), and 45 normal controls (n = 229). Best-estimate diagnoses of relatives were derived using direct and family history interviews. Relatives of patients with DD and comorbid DD/MDD exhibited significantly higher rates of DD than relatives of patients with MDD and normal probands. The rate of comorbid DD/MDD was significantly higher in the relatives of patients with DD/MDD than the relatives of normal probands. Finally, the relatives of patients with MDD and comorbid DD/MDD exhibited significantly higher rates of MDD than the relatives of normal controls. Although none of the models received unambiguous support, some were more plausible than others.