Background Depression is a major public health problem among cancer patients undergoing chemotherapy. It compromises patient outcomes, resulting in higher rates of mortality. Currently, there are little data on the prevalence of depression in Sub-Sharan countries. Therefore, the current study was done to assess the prevalence of depression among adult cancer patients and its associated factors in Ethiopia. Method An institutional based cross-sectional study was conducted among 420 adult cancer patients from 1st March to April 30, 2021. Systematic random sampling technique was used to recruit participants. Depression was assessed using the Patient Health Questionnaire-9. The collected data were coded and entered into Epi-data version 4.2 and exported to SPSS version 25 for analysis. Bivariate binary logistic regression was performed to select factors that will be included in multivariate analysis, and variables with a p-value < 0.05 were included in multivariate analysis. In multivariate analysis, odds ratios and their 95% confidence intervals were computed and variables with p-value < 0.05 were considered to declare a significant association. Results In this study, the prevalence of depression was 33.1% (95% CI = 0.2858, 0.3761). Minimal symptoms of depression, minor depression, moderate depression, moderate severe depression, and severe depression were found to be 272 (64.8%), 9 (2.1%), 104 (24.8%), 28 (6.7%), and 7 (1.7%), respectively. Those cancer patients who had unemployed status, sacked from jobs, and had stage IV cancer were most likely to develop depression, whereas patients who completed primary education, colon, prostate and cervical cancer were less likely to have depression. Conclusion Depression is found to be a major public health concern for adult cancer patients in Ethiopia. To reduce the occurrence of depression among cancer patients, special attention is needed.