Depression and cancer commonly co-occur. The prevalence of depression among cancer patients increases with disease severity and symptoms such as pain and fatigue. The literature on depression as a predictor of cancer incidence is mixed, although chronic and severe depression may be associated with elevated cancer risk. There is divided but stronger evidence that depression predicts cancer progression and mortality, although disentangling the deleterious effects of disease progression on mood complicates this research, as does the fact that some symptoms of cancer and its treatment mimic depression. There is evidence that providing psychosocial support reduces depression, anxiety, and pain, and may increase survival time with cancer, although studies in this latter area are also divided. Psychophysiological mechanisms linking depression and cancer progression include dysregulation of the hypothalamic-pituitary-adrenal axis, especially diurnal variation in cortisol and melatonin. Depression also affects components of immune function that may affect cancer surveillance. Thus, there is evidence of a bidirectional relationship between cancer and depression, offering new opportunities for therapeutic intervention.