The association between physical illness and depression implies a poorer management of chronic disease and a lower response to antidepressant treatments. Our study evaluates the effectiveness of a psychoeducational group intervention led by Primary Care (PC) nurses, aimed at patients of this kind. It is a randomized, multicenter clinical trial with intervention (IG) and control groups (CG), blind response variables, and a one year follow-up. The study included 380 patients ≥50 years of age from 18 PC teams. The participants presented depression (BDI-II > 12) and a physical comorbidity: diabetes mellitus type 2, ischemic heart disease, chronic obstructive pulmonary disease, and/or asthma. The IG (n = 204) received the psychoeducational intervention (12 weekly sessions of 90 min), and the CG (n = 176) had standard care. The patients were evaluated at baseline, and at 4 and 12 months. The main outcome measures were clinical remission of depressive symptoms (BDI-II ≤ 13) and therapeutic response (reduction of depressive symptoms by 50%). Remission was not significant at four months. At 12 months it was 53.9% in the IG and 41.5% in the CG. (OR = 0.61, 95% CI, 0.49–0.76). At 4 months the response in the IG (OR = 0.59, 95% CI, 0.44–0.78) was significant, but not at 12 months. The psychoeducational group intervention led by PC nurses for individuals with depression and physical comorbidity has been shown to be effective for remission at long-term and for therapeutic response at short-term.