Patients with cancer and depression experience more physical symptoms, have poorer quality of life, and are more likely to have suicidal thoughts or a desire for hastened death than are cancer patients who are not depressed. Despite the ubiquity of depressive symptoms in cancer patients at the end of life, critical questions remain unanswered with respect to etiopathogenesis, diagnosis, and treatment of depression in these vulnerable patients. The pharmacotherapy of depression in patients with advanced cancer should be guided by a palliative care approach focused on symptom reduction, irrespective of whether the patient meets diagnostic criteria for major depression. Earlier and more intensive supportive care for patients with cancer reduces symptom burden and may prolong life for patients with advanced disease. Symptom-oriented clinical trials are needed to improve end-of-life cancer care.