Internet addiction is a newly emerged disorder having great globalized psychosocial impact. Depressive disorder is one of the most reported comorbidities. To understand the comorbidity of Internet addiction and depressive disorder can shed light on the mechanism of Internet addiction. In this overview, we review the association between Internet addiction and depression. The cross-section study has shown a solid association between Internet addiction and depression. The prospective study has also demonstrated both temporal directions of a causal relationship between the two disorders. Covariance analysis has demonstrated a complex interaction between the two disorders. Here, we propose four candidate models-the escape, the negative consequences, the bi-direction, and the shared mechanisms model-as working candidate models in our temporary attempt to explain the association between those two disorders. While awaiting the validation for those models, we also suggest future directions for studies, and for treating subjects with Internet addiction.