Globally, lung cancer is one of the leading causes of cancer-related mortality both in men and women, having poor prognosis. This chapter examines the critical yet often overlooked issue of depression in advanced lung cancer patients. Depression significantly impacts these patients more than those with other cancers, affecting their quality of life (QoL), treatment outcomes, and overall well-being. Patients with advanced lung cancer frequently experience severe psychological distress such as anxiety and depression, due to various factors including disease symptoms, fear of death, financial strain, and the side effects of treatments. Studies reveal that depressive symptoms are prevalent from diagnosis through treatment, often increasing in the final stages of life. Depression in lung cancer patients is linked to poorer QoL, reduced treatment adherence, longer hospital stays, and higher mortality rates. Early screening and identification of high-risk groups for depression are crucial but challenging. Understanding the signs, symptoms, and specific vulnerable periods for depression can aid in better management. This chapter explores the intersection of depression and advanced lung cancer, examining contributing factors, symptoms, impacts on treatment and prognosis, and strategies for managing depression. Addressing mental health is essential for improving outcomes for patients with advanced lung cancer.