This study will compare two different types of psychotherapy for Veterans with depression, addiction, and a past traumatic experience. Everyone in the study will receive 12 weeks of group cognitive behavioral therapy focused on depression and addiction, followed by 12 weeks of individual psychotherapy sessions. For the second 12 weeks, half of the people will receive a review of the initial therapy, and half will receive a cognitive behavioral therapy focused on trauma. Everyone will complete research interviews every 3 months for a total of 18 months.