This analysis of survey data from the first two waves of the Americans’ Changing Lives Survey (obtained from the same people at two points in time) investigated whether unhealthy behaviours play a stress-buffering role in observed racial disparities in physical and mental health. The analysis found that the relationship between stressful life events and depression varies by the level of unhealthy behaviours; such behaviours seem to protect against depression in African Americans but lead to higher levels of depression in Whites.