Depression is a common, under-recognized, and under-treated problem that is independently associated with increased morbidity and mortality in CKD patients. However, only a minority of CKD patients with depression are treated with antidepressant medications or nonpharmacologic therapy. Reasons for low treatment rates include a lack of properly controlled trials that support or refute efficacy and safety of various treatment regimens in CKD patients. The aim of this manuscript is to provide a comprehensive review of studies exploring depression treatment options in CKD. Observational studies as well as small trials suggest that certain serotonin-selective reuptake inhibitors may be safe to use in patients with advanced CKD and ESRD. These studies were limited by small sample sizes, lack of placebo control, and lack of formal assessment for depression diagnosis. Nonpharmacologic treatments were explored in selected ESRD samples. The most promising data were reported for frequent hemodialysis and cognitive behavioral therapy. Alternative proposed therapies include exercise training regimens, treatment of anxiety, and music therapy. Given the association of depression with cardiovascular events and mortality, and the excessive rates of cardiovascular death in CKD, it becomes imperative to not only investigate whether treatment of depression is efficacious, but also whether it would result in a reduction in morbidity and mortality in this patient population.