The goal of the present study was to examine the main and interactive effects of major depressive disorder (MDD), distress tolerance (DT), and gender on multiple indices of risky sexual behavior (RSB) within a sample of 185 substance dependent patients in residential substance abuse treatment. Participants were interviewed to establish current MDD (as well as other Axis I and II diagnoses) and completed a behavioral measure of DT, the Paced Auditory Serial Addition Task-Computerized Version. Results provided evidence of a MDD × DT interaction for number of different past year commercial and casual sexual partners with which penetrative sex occurred. Post hoc analyses demonstrated that participants with current MDD and low DT reported the greatest number of commercial and casual sexual partners. Results highlight one psychological vulnerability (DT) that may improve our understanding of the complex relationship between depression and RSB. Treatment implications of findings are discussed.