Studying comorbidities in patients with psoriatic arthritis (PsA) provides a better understanding of the extended burden of the disease. Depression and anxiety are well recognized but understudied comorbidities in patients with PsA. The prevalence of depression is significantly higher in this patient population than in the general population, with far reaching consequences in terms of long-term quality of life. Over the past few years there has been an increasing interest in the link between inflammation and depression, with several novel studies being conducted. Recent evidence suggests a significant improvement of depression in PsA patients treated with biologic disease-modifying anti-rheumatic drugs (bDMARDs) as compared to conventional DMARDs. Depression in PsA is multidimensional, with recognized phenotypes, including cognitive disorder, alexithymia and anhedonia. The paucity of standardized, validated tools to screen these dimensional phenotypes remains an unmet need. Prevalence studies on depression in patients with PsA, mostly based on patient-reported outcomes, are only able to highlight the tip of the iceberg. A comprehensive, multidisciplinary approach addressing the subdomains of depression is imperative for a better understanding of depression in PsA patients, as well as to find a way forward for improving their quality of life. In this scoping review, we explore existing evidence on the burden of depression in PsA patients, the link between inflammation and depression in these patients and the screening tools used to evaluate the subdomains of depression.