STAR*D focuses on non-psychotic major depressive disorder in adults who are seen in outpatient settings. The primary purpose of this research study is to determine which treatments work best if the first treatment with medication does not produce an acceptable response. Participants will first receive citalopram, an SSRI medication; if symptoms remain after 8-12 weeks of treatment, up to four other levels of treatment will be offered, including cognitive therapy and other medications. There are no placebo treatments. Some patients may require a combination of two or more treatments to obtain full benefit. Participation could last from 15 to 27 months and involve up to 30 clinic visits. Participants will be interviewed by telephone throughout the study about their symptoms, daily functioning, treatment side effects, use of the health care system, and satisfaction with treatment. There will be a one-year follow up for participants once their depression has been successfully treated