Fumaric acid esters (FAEs) remain a widespread therapy option for moderate-to-severe psoriasis. However, drug survival of FAEs is limited by adverse events (AEs) or inadequate treatment response. Depressive disturbances are highly prevalent in psoriasis patients and are hypothesized to be associated with the reporting of AEs and therapy discontinuation. This study’s aim was to analyze whether psoriasis patients with comorbid depressive symptomatology are more likely to discontinue treatment with FAEs due to AEs and/or inadequate treatment response. Data were retrospectively extracted from the records of patients starting therapy with FAEs in the Department of Dermatology, University Hospital Essen, Germany between 2017 and 2022, covering the first 52 weeks of treatment. Psoriasis severity and depressive symptomatology, as well as AEs and therapy discontinuation, were analyzed. Psoriasis patients (N = 95, 47.37% female) with depressive symptomatology (42.11%) were more likely to discontinue therapy due to patient-reported AEs, while the total number of reported AEs was not associated with depression. The results support the hypothesis that among psoriasis patients with depressive symptoms, the associated introspection and somatization may result in increased sensitivity for AEs and thus in quicker therapy discontinuation. In these patients, the occurrence of nocebo effects should be minimized, e.g. by special communication techniques.