Many adult cancer patients present one or more physical comorbidities. Besides interfering with treatment and prognosis, physical comorbidities could also increase the already heightened psychological risk of cancer patients. To test this possibility, we investigated the relationship between physical comorbidities with depression symptoms in a sample of 2073 adult cancer survivors drawn from the nationally representative National Health and Nutrition Examination Survey (NHANES) (2007–2018) in the U.S. Based on information regarding 16 chronic conditions, the number of comorbidities diagnosed before and after the cancer diagnosis was calculated. The number of comorbidities present at the moment of cancer diagnosis was significantly related to depression risk in recent but not in long-term survivors. Recent survivors who suffered multimorbidity had 3.48 (95% CI 1.26–9.55) times the odds of reporting significant depressive symptoms up to 5 years after the cancer diagnosis. The effect of comorbidities was strongest among survivors of breast cancer. The comorbidities with strongest influence on depression risk were stroke, kidney disease, hypertension, obesity, asthma, and arthritis. Information about comorbidities is usually readily available and could be useful in streamlining depression screening or targeting prevention efforts in cancer patients and survivors. A multidimensional model of the interaction between cancer and other physical comorbidities on mental health is proposed.