Cancer patients often suffer from depression, the presence of which promotes the deterioration of the cancer patient's condition and thus affects the patient's survival. However, the exact mechanisms underlying the relationship between depression and tumor progression remain unclear, and this complexity involves multi-system and multi-level interactions, with several key challenges remaining in current research. First, the extreme complexity of biological systems. Depression and tumors involve multiple pathways such as neuroendocrine, immune system, and metabolism, respectively, and there are nonlinear interactions between these pathways (e.g., HPA axis activation affects both immunosuppression and tumor angiogenesis), so it is difficult to isolate the predominant role of a single mechanism, and there are feedback loops (e.g., inflammatory factors (e.g., IL-6) can both induce depressive symptoms and promote tumor growth) form a "feedback loop between depression and tumors" that makes it difficult to determine the direction of causality. Second, the potential blind spot of mechanism research. There is insufficient direct evidence for the brain-tumor axis, and it is known that the vagus nerve or sympathetic nerves can directly modulate the tumor microenvironment (TME) (e.g., via β-adrenergic receptors), but there is a lack of technical support for in vivo imaging on how the CNS remotely affects tumors through the neural circuits; whereas depression-associated disturbances of the intestinal flora or in certain stages of tumor development (e.g., metastatic) or specific microenvironments (e.g., areas of hyper-infiltrating T-cells) may have long-term effects on the tumors, but such changes are difficult to capture in short-term experiments and cannot be precisely temporally resolved by existing technologies. However, there are limitations in current research methods. Existing studies have relied on mouse models of chronic stress (e.g., chronic unpredictable stress), but the "depression-like behavior" of mice is fundamentally different from the clinical manifestations of depression in humans, and the TME (e.g., immune composition) is different from that of humans. Finally, for patients with cancer-associated depression, clinical treatment is usually a two-pronged strategy, but the combination of anticancer and antidepressant drugs has limitations, such as drug-drug interactions, safety issues, and the challenge of individualized treatment in clinical practice. Therefore, by elucidating the relationship between depression and tumor bidirectional effects, this review relatively clarifies how depression affects TME to promote tumor progression by influencing changes in immunosuppression, hormonal changes, glutamate/glutamate receptors, and intestinal flora. Further, some potential therapeutic strategies are proposed for the clinical treatment of this group of patients through the above pathological mechanism; at the same time, it was found that antidepressant drugs have potential antitumor activity, and their dual pharmacological effects may provide synergistic therapeutic benefits for patients with cancer-associated depressive disorders. This finding not only expands the choice of drugs for tumor therapy but also provides a new theoretical basis for comprehensive treatment strategies in the field of psycho-oncology.