Purpose Depression symptoms are common among patients with lung cancer; however, longitudinal changes and their impact on survival are understudied. Methods This was a prospective, observational study from the Cancer Care Outcomes Research and Surveillance Consortium from five US geographically defined regions from September 2003 through December 2005. Patients enrolled within 3 months of their lung cancer diagnosis were eligible. The eight-item Center for Epidemiologic Studies Depression scale was administered at diagnosis and 12 months' follow-up. The main outcome was survival, which was evaluated using Kaplan-Meyer curves and adjusted Cox proportional hazards modeling. Results Among 1,790 participants, 681 (38%) had depression symptoms at baseline and an additional 105 (14%) developed new-onset depression symptoms during treatment. At baseline, depression symptoms were associated with increased mortality (hazard ratio [HR], 1.17; 95% CI, 1.03 to 1.32; P = .01). Participants were classified into the following four groups based on longitudinal changes in depression symptoms from baseline to follow-up: never depression symptoms (n = 640), new-onset depression symptoms (n = 105), depression symptom remission (n = 156), and persistent depression symptoms (n = 254) and HRs were calculated. Using the never-depression symptoms group as a reference group, HRs were as follows: new-onset depression symptoms, 1.50 (95% CI, 1.12 to 2.01; P = .006); depression symptom remission, 1.02 (95% CI, 0.79 to 1.31; P = .89), and persistent depression symptoms, 1.42 (95% CI, 1.15 to 1.75; P = .001). At baseline, depression symptoms were associated with increased mortality among participants with early-stage disease (stages I and II; HR, 1.61; 95% CI, 1.26 to 2.04), but not late-stage disease (stages III and IV; HR, 1.05; 95% CI, 0.91 to 1.22). At follow-up, depression symptoms were associated with increased mortality among participants with early-stage disease (HR, 1.71; 95% CI, 1.27 to 2.31) and those with late-stage disease (HR, 1.32; 95% CI, 1.04 to 1.69). Conclusion Among patients with lung cancer, longitudinal changes in depression symptoms are associated with differences in mortality, particularly among patients with early-stage disease. Symptom remission is associated with a similar mortality rate as never having had depression.