Sadness is a normal reaction to the fears, anxieties, and uncertainties during any stage of cancer but is especially problematic during the advanced stage. Depressive symptoms and syndromes frequently coexist during this time and affect quality of life. Depression is an overlooked and undertreated symptom during late-stage cancer. This article provides an overview of the epidemiology, neurophysiology, diagnostic and screening approaches, risk factors, and treatment modalities for depression in patients with advanced cancer.