One of the most common comorbid mental health conditions associated with post-traumatic stress disorder (PTSD) is a depressive disorder. In many cases individuals will experience substantial improvement, if not remission, of depressive symptoms on successful completion of cognitive processing therapy (CPT). At times, however, targeted work is required to address depression, either because it might be interfering with engagement in CPT or with the effectiveness of CPT techniques, or because depressive symptoms remain at problematic levels despite reductions in PTSD. In this chapter, we first briefly review the latest research that helps us understand the PTSD-depression relationship in CPT. Guided by this context, we then discuss both CPT and other therapy techniques and strategies that can be used to improve clinical outcomes and present these in the context of two case examples. We end by commenting on areas of further clinical research needed to improve our treatment and management of this common comorbidity.