Self-training and contrastive learning have emerged as leading techniques for incorporating unlabeled data, both under distribution shift (unsupervised domain adaptation) and when it is absent (semi-supervised learning). However, despite the popularity and compatibility of these techniques, their efficacy in combination remains surprisingly unexplored. In this paper, we first undertake a systematic empirical investigation of this combination, finding (i) that in domain adaptation settings, self-training and contrastive learning offer significant complementary gains; and (ii) that in semi-supervised learning settings, surprisingly, the benefits are not synergistic. Across eight distribution shift datasets (e.g., BREEDs, WILDS), we demonstrate that the combined method obtains 3--8% higher accuracy than either approach independently. Finally, we theoretically analyze these techniques in a simplified model of distribution shift demonstrating scenarios under which the features produced by contrastive learning can yield a good initialization for self-training to further amplify gains and achieve optimal performance, even when either method alone would fail.