A strong association between fatigue and depression in cancer patients has been reported repeatedly in clinical studies. The distinction remains difficult, mainly because of the similar phenomenology of fatigue and depression. It is the aim of this paper to work out similarities and differences in the conception of fatigue and depressive disorders. For that, a differentiation between depression as emotional distress and depression as clinical syndrome, according to the current classification systems, has to be made. Therefore, the classification of depressive disorders and their criteria is presented in the second section of this paper, especially in view of the diagnosis of depressive disorders in cancer patients. The comparison of the multidimensional fatigue construct and depression shows a strong overlap of symptoms. None of the fatigue symptoms are specific for fatigue, all being elements of depressive syndromes. It is in particular the psychological symptoms of depressive disorders that differentiate between the two concepts. To that end, the question is discussed whether fatigue in its current conceptualization can be defined as a diagnostic entity independent of depressive disorders. Additionally, research approaches are presented from the area of the chronic fatigue syndrome and neurasthenia, which could be adapted to cancer-related fatigue and help to clarify the clinical differences between fatigue and depression. In order to ensure better differential diagnostics in the future, criteria-orientated research in particular is needed.