Lung cancer commonly occurs in older adults who live in deprived areas and have multiple medical comorbidities. As well as suffering severe physical deterioration they are aware of their poor prognosis. It is therefore unsurprising that people with lung cancer have a high rate of depression. Whilst there are effective treatments for depression in people who do not have cancer, it is uncertain which treatments, if any, are effective in depressed cancer patients; the special characteristics of the condition only increase that uncertainty for people with lung cancer. We therefore conducted a systematic review of relevant randomised controlled trials to determine which, if any, treatments have been found to be effective for depression in patients with lung cancer. Surprisingly, we found no completed trials of treatments in patients selected for having depression and no trials that had evaluated treatments known to be effective for depression in the general population. We did, however, find six trials of interventions intended to improve quality of life in unselected patients with lung cancer. These suggested that enhanced care is more effective in reducing depressive symptoms than standard care. Whilst it may be reasonable to treat depression in individuals with lung cancer with standard treatments until more specific evidence is available, clinicians should be aware that the effectiveness and potential adverse effects of these treatments remain unknown in this patient group. Evidence from randomised trials is urgently required.