Pyramid architecture is a useful strategy to fuse multi-scale features in deep monocular depth estimation approaches. However, most pyramid networks fuse features only within the adjacent stages in a pyramid structure. To take full advantage of the pyramid structure, inspired by the success of DenseNet, this paper presents DCPNet, a densely connected pyramid network that fuses multi-scale features from multiple stages of the pyramid structure. DCPNet not only performs feature fusion between the adjacent stages, but also non-adjacent stages. To fuse these features, we design a simple and effective dense connection module (DCM). In addition, we offer a new consideration of the common upscale operation in our approach. We believe DCPNet offers a more efficient way to fuse features from multiple scales in a pyramid-like network. We perform extensive experiments using both outdoor and indoor benchmark datasets (i.e., the KITTI and the NYU Depth V2 datasets) and DCPNet achieves the state-of-the-art results.