Major depression is a debilitating condition characterised by diverse neurocognitive and behavioural deficits. Nevertheless, our species-typical capacity for depressed mood implies that it serves an adaptive function. Here we apply an interdisciplinary theory of brain function to explain depressed mood and its clinical manifestations. Combining insights from the free-energy principle (FEP) with evolutionary theorising in psychology, we argue that depression reflects an adaptive response to perceived threats of aversive social outcomes (e.g., exclusion) that minimises the likelihood of surprising interpersonal exchanges (i.e., those with unpredictable outcomes). We suggest that psychopathology typically arises from ineffectual attempts to alleviate interpersonal difficulties and/or hyper-reactive neurobiological responses to social stress (i.e., uncertainty), which often stems from early experience that social uncertainty is difficult to resolve.