The literature reported higher depression rates in psoriasis patients compared to the general population. Our study aimed to verify whether variability in depression prevalence was due to using different diagnostic tools. We also aimed to determine whether dysfunctional coping strategies might increase the depression burden. We assessed psoriasis severity by the Psoriasis Area Severity Index (PASI) and PSOdisk. We analyzed mental alterations of 120 outpatients by Hamilton Depression and Anxiety Rating Scales (HAM-D and HAM-A), Symptom Checklist-90-Revised (SCL-90-R), plus coping strategies and quality of life by Coping Orientation to Problems Experienced (COPE) Inventory and 36-Item Short Form Health Survey (SF-36). We divided our cohort into five subgroups from minimal to severe psoriasis using the PSOdisk total score. Depression prevalence varied according to the assessment criteria for specificity, frequency, and severity. Different mood disorders other than major depression emerged when we used DSM-IV-TR criteria. Correlation analysis of the criteria we used to diagnose depression or depressed mood indicated that a dysfunctional coping strategy was highly and positively correlated only in patients of the severe subgroup. Differently, a negative correlation emerged between the SF-36 Mental Summary Component (MSC) and behavioral disengagement, thus suggesting that psychopathological distress might induce patients with a marked/severe psoriasis to adopt dysfunctional coping strategies. Dermatologists are fundamental in detecting comorbid depression, referring psoriasis patients to mental health specialists to achieve adequate treatments, and preventing suicide risk.