This paper aims to provide an overview of the current state of affairs on psychophysiological factors that may explain the link between depression and adverse outcome in coronary artery disease (CAD) patients. Factors discussed include heart rate variability, inflammation, platelet function, hypothalamus-pituitary-adrenal axis activity, serotonin metabolism and polyunsaturated fatty acids. Evidence suggests the involvement of each of these factors in both depression and CAD, together contributing to the prospective association between depression and cardiac outcome. Unfortunately, the involvement of above factors has been evaluated mostly in isolation, despite their functional interrelations and associations with behavioral factors. Moreover, there may be specific relations between individual symptoms of depression and certain psychophysiological mechanisms, rather than with general depression, further complicating the notion of depression as a cardiotoxic factor. The relatively understudied complexity of the relation between depression and CAD may serve as an explanation for the finding that depression treatment does not or barely affect cardiac outcome. Future studies should focus on the network of psychophysiological (and behavioral) factors to elucidate their precise role and timing in depressed cardiac patients.