Depressive disorder and neurodegenerative diseases are two different clinical entities. Depression is a common psychiatric disorder in the general population. However, when present concomitantly with neurodegenerative disorders, its diagnosis becomes challenging. In many cases, patients remain undiagnosed and hence, untreated, worsening the prognosis of the neurodegenerative diseases and impairing the quality of life. One of the possible reasons for the difficulties in diagnosis in such cases is that both conditions affect the central nervous system, so there might be an overlap of symptoms leading to a missed diagnosis of depression in a neurodegenerative disease patient and vice versa. Symptoms such as irritability, apathy, and decreased cognition are common to both types of disorders. Some neurodegenerative diseases, especially Alzheimer's disease, can initially present as a depressive prodrome. This may cause a difficulty in differentiating between these two conditions and a diagnosis of either conditions may be missed; hence an opportunity for timely intervention and improved outcomes is missed. An approach towards analyzing and comparing the pathological mechanisms common to both disease types will create a better understanding of depression and neurodegenerative diseases, identify their similarities, and develop improved clinical criteria to help clinicians make a timely diagnosis of these conditions present together. In the present review, various studies related to common pathological links, concomitant diagnosis challenges, and ongoing research about different treatment options are discussed.