The provocative articles in this Special Issue underscore the potential of cognitive neuroscience to achieve fruitful integration across diverging levels of analysis. After a discussion of different forms of reductionism and the pragmatic, ideological, and cognitive obstacles standing in the way of achieving integrative explanatory pluralism, I outline five challenges to applying cognitive neuroscience to the study of depression and allied conditions: (1) comorbidity, (2) etiological heterogeneity, (3) ambiguity concerning causal primacy, (4) distinguishing state from trait markers, and (5) distinguishing specific from nonspecific treatment effects. Greater attention to these challenges should assist in bringing about consilience in the conceptualization of depression.