The comorbidity of depression and cancer represents a significant global public health challenge, severely impacting patients" quality of life and clinical outcomes. This article systematically reviews the epidemiological characteristics, clinical implications, and major challenges in current research on the comorbidity of depression and cancer. It focuses on the role of depression in promoting tumor progression and suppressing immune function through the neuroendocrine-immune regulatory network. 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 are elaborated in detail. The article further reveals the molecular mechanisms by which depression, through the activation of the hypothalamic-pituitary-adrenal (HPA) axis and the sympathetic nervous system, regulates malignant biological behaviors such as tumor immune evasion, metastasis, and angiogenesis. Additionally, this paper evaluates the application value and limitations of existing animal models in studying the mechanisms underlying the comorbidity of depression and cancer, emphasizing the importance and urgency of developing more precise comorbid models to uncover mechanisms and explore management strategies. Through this review, we aim to raise awareness of risk prediction, clinical intervention, and basic research on the comorbidity of depression and cancer, providing a theoretical foundation and new research directions for developing depression-cancer comorbidity models.