Depressive spectrum disorders, including major depression, persistent depression, minor and sub-syndromal depression, and other forms of depressive conditions, such as demoralization, are among the most common psychiatric consequences of cancer patients, affecting up to 60% of patients. In spite of the negative effects and the burden for cancer patients and their families, these disorders often remain under-recognized and undertreated. The present review aims at summarizing the relevant data concerning the diagnostic challenges within the depressive spectrum disorders among cancer patients. Also, the most relevant data relative to integrated intervention, including psychopharmacological and psychosocial treatment, for depression in cancer patients are critically evaluated. It is mandatory that health care professionals working in oncology (e.g., oncologists, surgeons, radiation oncologists, primary care physicians, nurses, social workers, psychologists) receive training in the diagnosis and integrated management of the different types of disorder within the spectrum of clinical depression.