Depression, one of the most common comorbidities with osteoarthritis (OA), affects patient prognosis and quality of life. It also increases the overall burden of disease. This subgroup of patients has not been effectively managed in clinical settings. The study aimed to direct physicians’ attention to the co-occurrence of depression and OA. Therefore, this review summarizes the relevant literature published over the past 10 years. The focus is on the prevalence of and risk factors for depression in OA, the effects of depression on OA development and treatment response, comorbidity mechanisms, screening, and non-pharmacological treatment. The research on the etiology of depression has been driven largely by epidemiological studies. Recent studies have shown that high levels of pain, poor levels of function, high numbers of OA sites, and slow gait might be associated with depression. However, the pathophysiology of OA and depression comorbidities remains unclear. In addition to immune inflammation and structural changes in the brain, which have been documented in brain imaging studies, psychosocial factors may also play a role. The evidence indicates that depression can be treated with early intervention; however, adjustments may need to be made for individuals with comorbid depression in OA. It is recommended that health care providers pay more attention to depressive symptoms in patients with OA. Clinicians should develop and implement an individualized and comprehensive treatment plan for patients based on a mental health assessment and in teams with other professionals to optimize treatment outcomes.