This article provides an overview of the prevalence, pathogenesis and diagnosis of, and treatment strategies for, depression in cancer patients. Untreated depression can increase the burden of oncology symptoms and worsen the cancer prognosis through the relationship between mood and immunity. The issues to consider when treating a patient with cancer who has depression include when to introduce pharmacotherapy, the criteria for choosing an antidepressant, and the necessary caution regarding side effects and drug interactions. The choice of an antidepressant is a complex decision that has to balance previous pharmacological experiences, different clusters of target symptoms, pharmacological interactions, and objective and subjective risks of side effects, with the aim of tailoring a strategy for each patient.