Bidirectional relationships exist between cancer and depression; the prevalence of depression in cancer patients is higher than in the general population, and depression predicts cancer progression and mortality. The mechanisms through which depression contributes to the progression of cancer are related with dysregulation of the hypothalamic-pituitary-adrenal axis and impairment of immune function. However, depression in cancer patients tends to be underdiagnosed and not appropriately treated. The methods of diagnosis and assessment of depression in cancer patents have been debated because physical symptoms of depression mimic both cancer symptoms per se and the side effects of cancer treatment. Many studies have shown that various psychosocial and/or pharmacological interventions are effective at improving depressive symptoms and quality of life in cancer patients. Furthermore, antidepressant treatments are effective for various physical symptoms related to cancer, such as fatigue, anorexia, pain, hot flashes, and itching. This article reviews and discusses current knowledge about depression in cancer patients.