The debate over the relative usefulness of categorical (yes/no) versus dimensional (continuous scales) assessments for determining mental illness has been running strong for nearly a half century. In order to address the utility of each of these assessment methods within the cancer population, in the present study, the dimensional and categorical scoring systems of the nine-item Patient Health Questionnaire (PHQ-9) for depression were compared among patients (n = 14) in the pretreatment stages for locally advanced non-small-cell lung cancer (NSCLC). Also included in the study was an additional dimensional measure of depression, the Beck Depression Inventory-II (BDI-II). As predicted, dimensional assessments resulted in higher estimates of depression than did the categorical assessment. As predicted, the dimensional depression assessments, including the PHQ-9 and the BDI-II, which showed depression prevalence rates of 43% and 36%, respectively, produced higher estimates of depression than did the categorical system of the PHQ-9, whose use did not result in any patients being diagnosed with major depression or other depression. Also, as predicted, in terms of quality of life, patients found to be depressed by both the BDI-II and the dimensional PHQ-9 reported significantly worse physical, functional, and emotional well-being than did their nondepressed counterparts. Study findings suggest a need for further investigation into the possibility that patients who score highly on the dimensional scoring system of the PHQ-9 but at values below threshold on the more commonly accepted categorical scoring system of the same measure would benefit from consideration for psychotherapeutic treatment.