Cancer patients are at risk of several comorbid conditions, including nutritional issues and mental health illnesses. The objective of the current study was to estimate the prevalence, upon hospital admission, of depression and malnutrition among adults with cancer. A retrospective chart review was conducted using health information collected as part of routine assistance. Nutritional status was measured through structured tools, including body mass index (BMI), Nutrition Risk Screening (NRS) 2002, and dietary intake needs. Depression was assessed with the Hospital Anxiety and Depression Scale (HAD). Cancer site, disease stage, length of hospitalization, age, and sex were also considered. Multivariate analyses were used to investigate the association between malnutrition and depression. In summary, our study reveals that malnutrition increases the risk of depression among cancer patients. The findings can also be used in clinical oncology for the implementation of appropriate prevention and treatment interventions in order to reduce the extent of depression and thus improve cancer patients’ quality of life and survival rate.