Background and Objectives: The association between myasthenia gravis (MG) and depression is intricate and characterized by bidirectional causality. In this regard, MG can be a contributing factor to depression and, conversely, depression may worsen the symptoms of MG. This study aimed to identify any differences in the progression of the disease among patients with MG who were also diagnosed with depression as compared to those without depression. Our hypothesis focused on the theory that patients with more severe MG symptoms may have a higher likelihood of suffering depression at the same time. Materials and Methods: One hundred twenty-two male and female patients (N = 122) aged over 18 with a confirmed diagnosis of autoimmune MG who were admitted to the Neurology II department of Myasthenia Gravis, Clinical Institute Fundeni in Bucharest between January 2019 and December 2020, were included in the study. Patients were assessed at baseline and after six months. The psychiatric assessment of the patients included the Hamilton Depression Rating Scale-17 items (HAM-D), and neurological status was determined with two outcome measures: Quantitative Myasthenia Gravis (QMG) and Myasthenia Gravis Activities of Daily Life (MG-ADL). The patients were divided into two distinct groups as follows: group MG w/dep, which comprised 49 MG patients diagnosed with depressive disorder who were also currently receiving antidepressant medication, and group MG w/o dep, which consisted of 73 patients who did not have depression. Results: In our study, 40.16% of the myasthenia gravis (MG) patients exhibited a comorbid diagnosis of depression. Among the MG patients receiving antidepressant treatment, baseline assessments revealed a mean MG-ADL score of 7.73 (SD = 5.05), an average QMG score of 18.40 (SD = 8.61), and a mean Ham-D score of 21.53 (SD = 7.49). After a six-month period, a statistically significant decrease was observed in the MG-ADL (2.92, SD = 1.82), QMG (7.15, SD = 4.46), and Ham-D scores (11.16, SD = 7.49) (p < 0.0001). These results suggest a significant correlation between MG severity and elevated HAM-D depression scores. Regarding the MG treatment in the group with depression, at baseline, the mean dose of oral corticosteroids was 45.10 mg (SD = 16.60). Regarding the treatment with pyridostigmine, patients with depression and undergoing antidepressant treatment remained with an increased need for pyridostigmine, 144.49 mg (SD = 51.84), compared to those in the group without depression, 107.67 mg (SD = 55.64, p < 0.001). Conclusions: Our investigation confirms that the occurrence of depressive symptoms is significantly widespread among individuals diagnosed with MG. Disease severity, along with younger age and higher doses of cortisone, is a significant factor associated with depression in patients with MG. Substantial reductions in MG-ADL and QMG scores were observed within each group after six months, highlighting the effectiveness of MG management. The findings suggest that addressing depressive symptoms in MG patients, in addition to standard MG management, can lead to improved clinical outcomes.