Lifetime trajectories of risk for major depression appear to be established early in childhood. Within the broader frameworks of life course epidemiology and developmental psychopathology, Pesonen et al. (Am J Epidemiol 2007;166:1126-1133) provide new evidence that traumatic experiences in childhood increase the risk of depressive symptoms in adulthood. They reported on a follow-up study of 1,658 members of the Helsinki Birth Cohort, born in 1934-1944 (Finland), 410 of whom were evacuated to foster care during World War II. More than six decades later, the adults who were evacuated as children had significantly higher depressive symptom scores than the adults who were not evacuated. Their study highlights important challenges to determining whether or not specific childhood experiences have a causal effect on adult depression. This commentary reviews three challenges to causal inference in life course research: unmeasured confounding, sampling bias, and model specification. Despite the strengths of birth cohort studies for investigating developmental trajectories and for establishing the temporality of exposures, such studies often do not overcome threats to causal inference that are common to observational research in general. The study by Personen et al. provides further motivation for research that can address commonly recognized sources of bias and identify intervening pathways linking early life exposures with adult health outcomes.