This study aimed to investigate the relationship between sense of coherence and depression and the mediating role of self-disclosure in lung cancer patients. Α cross-sectional study was conducted in "Sotiria" Chest Diseases Hospital, Greece, with a sample of 200 lung cancer patients. The administered questionnaires included demographic-medical information, SOC-13, Distress Disclosure Index, and CES-D scale. Analysis was performed by SPSS v.23 and PROCESS. Depression was common (41%) and negatively correlated to SOC (rho = −0.843, df = 198, p < 0.001), while self-disclosure did not mediate this relationship. Hierarchical linear regression analysis showed that patients with weak SOC, disease recurrence, metastases, low income, and receiving therapy in Day clinic had higher levels of depression. In conclusion, a strong SOC represents a protective factor against depression in lung cancer patients. Consequently, there is a need for targeted interventions, which should mainly increase SOC of these patients.