Cancer is a leading cause of death worldwide. Literature reports depression and anxiety are the most common psychiatric symptoms in cancer patients. Notably, lung cancer is associated with major depressive disorder in 5–13% of cases. The present article aims to give an overview regarding the impact of mood disorders on the outcomes of patients affected by lung cancer. Our review showed that pharmacological treatment and psychotherapy can be useful to improve the quality of life of patients with lung cancer. Moreover, the treatment of depression and anxiety can be associated with a reduced mortality. In conclusion, it is important to consider psychiatric care as important as other adjuvant oncologic therapies in patients with cancer.