Although the public importance of frailty is widely acknowledged by the World Health Organization, physical frailty is still largely neglected in geriatric mental health care. Firstly in this narrative review, we summarize the knowledge on the epidemiology of the association between depression and frailty, whereafter implications for treatment will be discussed. Even though frailty and depression have overlapping diagnostic criteria, epidemiological studies provide evidence for distinct constructs which are bidirectionally associated. Among depressed patients, frailty has predictive validity being associated with increased mortality rates and an exponentially higher fall risk due to antidepressants. Nonetheless, guidelines on the treatment of depression neither consider frailty for risk stratification nor for treatment selection. We argue that frailty assessment enables clinicians to better target the pharmacological and psychological treatment of depression as well as the need for interventions targeting primarily frailty, for instance, lifestyle interventions and reduction of polypharmacy. Applying a frailty informed framework of depression treatment studies included in a meta-analysis reveals that the benefit–harm ratio of antidepressants given to frail depressed patients can be questioned. Nonetheless, frail-depressed patients should not withhold antidepressants as formal studies are not available yet, but potential adverse effects should be closely monitored. Dopaminergic antidepressants might be preferable when slowness is a prominent clinical feature. Psychotherapy is an important alternative for pharmacological treatment, especially psychotherapeutic approaches within the movement of positive psychology, but this approach needs further study. Finally, geriatric rehabilitation, including physical exercise and nutritional advice, should also be considered. In this regard, targeting ageing-related abnormalities underlying frailty that may also be involved in late-life depression such as low-grade inflammation might be a promising target for future studies. The lack of treatment studies precludes firm recommendations, but more awareness for frailty in mental health care will open a plethora of alternative treatment options to be considered.