The aim of the study was to assess, in advanced lung cancer patients, the frequency of depression and the related demographic and biomedical factors before diagnosis and after the initial treatment period. Seventy nine patients from among 105 advanced lung cancer patients diagnosed between July 2001 and April 2002 in the Division of Chest Disease, Oncology Education and Research Hospital in Ankara, were included in the study. Each patient’s demographic and biomedicals features were recorded and all patients underwent a baseline interview by consultant psychologists for assessment of a depressive state prior to diagnosis. The evaluation was repeated after completion of initial treatment. Symptoms of depression were assessed using the Beck Depression Inventory adapted for Turkey. The overall frequency of depression before diagnosis and after initial treatment was 50.6% and 21.5%. Mean depression score was 16±11 and 12±9.7, respectively, before diagnosis and after initial treatment. Patients with small-cell lung cancer had significantly higher depression scores than those with non-small-cell lung cancer. Severe breathlesness, cough, pain, tiredness, poor malnutrition and performance status were associated with an increased risk of depression. Logistic regression analysis confirmed that pain was the most important predictor of depression prior to diagnosis and after initial treatment. Our results indicate that depression may be present prior to diagnosis in patients with advanced lung cancer and it does not necessarily increase over time. The most important risk factor in the development of depression was pain and its management is therefore essential during the clinical course. Psychological screening and evaluation of subjective physical symptoms should be part of the initial evaluation of patients with advanced lung cancer.