The comorbidity of depression and cancer represents a significant global public health challenge, severely impacting patients’ quality of life and clinical outcomes. This systematic review considers the epidemiological characteristics, clinical implications, and major challenges in current research regarding comorbid depression and cancer, focusing on the role of depression in promoting tumor progression and suppressing immune function via the neuroendocrine-immune regulatory network. We discuss the dynamic changes and interaction mechanisms of depression-related neurotransmitters (such as serotonin and norepinephrine) and stress hormones (such as cortisol) within the tumor microenvironment. We also reveal the molecular mechanisms by which depression regulates malignant biological behaviors such as tumor immune evasion, metastasis, and angiogenesis via activation of the hypothalamic pituitary-adrenal axis and the sympathetic nervous system. This review also evaluates the application value and limitations of existing animal models for studying the mechanisms underlying the comorbidity of depression and cancer, emphasizing the importance and urgency of developing more precise comorbidity models to uncover the mechanisms and explore management strategies. This review aims to raise awareness of risk prediction, clinical interventions, and basic research on the comorbidity of depression and cancer, to provide a theoretical foundation and new research directions for developing depression-cancer comorbidity models.