New exciting research in psycho-oncology has shed light on the mechanisms by which biobehavioral signaling in cancer interplays with the neuroimmune axis, as well as on the progression and mortality of cancer patients. Cancer and cancer therapy can collectively result in inflammation and cytokine production, which have been associated with occurrence of depression. Conversely, depression supports a chronic activated hypothalamopituitary-adrenal axis (HPA) and further determines cortisol and adrenal disturbances, as well as immune dysfunction and increased cytokine production. Through these processes, depression is associated with a worse cancer outcome. New treatment strategies which counter the aberrant pathways between depression and cancer, such as drugs that target cytokines, pro-inflammatory signaling, neuroendocrine, metabolic pathways and sympathetic activation, might disrupt important vehicles for cancer progression. In this review, we emphasize the major pathways that link inflammation, depression and immunity, in order to highlight potential therapeutic strategies which may become of paramount importance to those depressed individuals with cancer that have a higher risk for developing a more aggressive disease.