This study will examine depressed alcoholic outpatients to assess whether combining naltrexone (Revia) and sertraline (Zoloft) will result in greater reductions in both drinking and depression over either medication alone or placebo. A secondary aim is to determine whether certain patient features will predict response to sertraline, naltrexone or the combination of the two drugs. Subjects will be randomized into treatment groups for 14 weeks. The followup phase includes two visits at 6 and 9 months after treatment.