Unexpected health-endangering events that lead to an emergency department visit may be perceived as "wake-up calls" and induce significant changes in health-related behavior ("health shock" effect). This study uses two waves of a survey of 826 adults with depression and finds that having an emergency department visit(s) increased medication adherence by 7.6 percentage points (p < 0.05) relative to non-emergency department visitors but had no significant effect on counseling attendance (0.02% points, p = 0.380). Emergency department visits may provide an opportune teachable moment to initiate targeted interventions for positive behavioral change in adults with depression.