Major Depressive Disorder (MDD) is estimated to affect one in twenty people worldwide. MDD is highly co‐morbid with cardiovascular disease (CVD), itself one of the single largest causes of mortality worldwide. A number of pathological changes observed in MDD are believed to contribute to the development of cardiovascular disease, although no single mechanism has been identified. There are also no biological markers capable of predicting the future risk of developing heart disease in depressed individuals. Plasminogen Activator Inhibitor 1(PAI‐1) is a pro‐thrombotic plasma protein secreted by endothelial tissue and has long been implicated in CVD. An expanding body of literature has recently implicated it in the pathogenesis of Major Depressive Disorder as well. In this paper we review candidate pathways implicating MDD in CVD and consider how PAI‐1 might act as a mediator by which MDD induces CVD development; chiefly through sleep disruption, adiposity, Brain Derived Neurotrophic Factor (BDNF) metabolism, systemic inflammation, and Hypothalamic‐Pituitary‐Adrenal (HPA) axis dysregulation. As both MDD and CVD are more prevalent in women than men, and both incidence of either condition is dramatically increased during reproductive milestones, we also explore hormonal and sex specific associations between MDD, PAI‐1 and CVD. Of special interest is the role PAI‐1 plays in perinatal depression and in cardiovascular complications of pregnancy. Finally, we propose a theoretical model whereby PAI‐1 might serve as a useful biomarker for CVD risk in those with depression, and as a potential target for future treatments. This article is protected by copyright. All rights reserved.