The current project aimed to clarify several aspects of the relationship between depressive symptoms, stress, and health behaviors among young adults. A large body of research supports bidirectional relationships between depression and poor physical health outcomes, and health behaviors such as substance use, physical inactivity, and poor sleep may serve as modifiable links between depression and physical health. It is particularly important to improve understanding of these processes in young adulthood, a crucial period in the development of physical and mental health. The current study sought, in part, to clarify the relative and interactive effects of chronic, acute, and daily stress in influencing health behaviors and subsequent mood. Results from Study 1 demonstrated that chronic stress, but not acute stress, predicted increased depressive symptoms several years later in part through maladaptive health behaviors, especially poor sleep, among young adults. Results from Study 2 demonstrated that depressive symptoms, chronic stress, and daily stress, but not acute stress, were associated with higher levels of daily maladaptive health behavior engagement in college students. Contrary to Study 2 hypotheses, youth with elevated depressive symptoms were not more likely to respond to stress with maladaptive health behaviors than youth without elevated depressive symptoms. Results from Study 2 also indicated that fluctuations in daily affect mediated the effects of depressive symptoms on daily maladaptive health behavior engagement, and that individuals endorsing beliefs about the stress-relieving properties of exercise and alcohol consumption (but not smoking and eating) were likelier to engage in these behaviors when facing stress. Together, the current results indicate that chronic stress, depressive symptoms, and daily stress are associated with maladaptive health behavior engagement among young adults. Furthermore, fluctuations in daily affect and beliefs about health behavior engagement may serve as fruitful targets of interventions aimed to ameliorate the deleterious effects of stress and depression on health behaviors.