This article reviews common sources of suffering in patients with advanced illness, identifies challenges in appropriately diagnosing and treating depression in this setting, and examines the relationship between depression and other key clinical outcomes in the setting of advanced disease. A systematic literature review was conducted. Most of the existing research on patients with advanced illness has been conducted with cancer patients. Approximately 18 percent of patients with advanced illness meet criteria for major or minor depression; multiple psychiatric co-morbidities occur frequently. Prevalence rates increase as patients become sicker. However, depression is frequently underdiagnosed and undertreated in the setting of advanced illness. One of the key clinical challenges is differentiating depression from grief. Both psychosocial and psychopharmacologic interventions have been shown to be effective in treating depression in patients with advanced cancer. In conclusion, depression is a regular complication of advanced illness, reduces quality of life, compromises family member function, interferes with treatment decisions, and may shorten survival. However, numerous effective treatment approaches, including both medications and psychotherapy, exist and can be used to alleviate depression.