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Objectives The aims of this observational study were to 1) accrue newly diagnosed patients with advanced-stage non-small cell lung cancer (NSCLC) awaiting the start of first-line treatment and identify those with moderate to severe depressive symptoms and, 2) provide a clinical description of the multiple, co-occurring psychological and behavioral difficulties and physical symptoms that potentially exacerbate and maintain depressive symptoms. Materials and methods Patients with stage IV NSCLC (N = 186) were enrolled in an observational study (ClinicalTrials.gov Identifier: NCT03199651) and completed the American Society of Clinical Oncology-recommended screening measure for depression (Patient Health Questionnaire-9 [PHQ-9]). Individuals with none/mild (n = 119; 64 %), moderate (n = 52; 28 %), and severe (n = 15; 8 %) depressive symptoms were identified. Patients also completed measures of hopelessness, generalized anxiety disorder (GAD) symptoms, stress, illness perceptions, functional status, and symptoms. Results Patients with severe depressive symptoms reported concomitant feelings of hopelessness (elevating risk for suicidal behavior), anxiety symptoms suggestive of GAD, and traumatic, cancer-specific stress. They perceived lung cancer as consequential for their lives and not controllable with treatment. Pain and multiple severe symptoms were present along with substantial functional impairment. Patients with moderate depressive symptoms had generally lower levels of disturbance, though still substantial. The most salient differences were low GAD symptom severity and fewer functional impairments for those with moderate symptoms. Conclusions Depressive symptoms of moderate to severe levels co-occur in a matrix of clinical levels of anxiety symptoms, traumatic stress, impaired functional status, and pain and other physical symptoms. All of the latter factors have been shown, individually and collectively, to contribute to the maintenance or exacerbation of depressive symptoms. As life-extending targeted and immunotherapy use expands, prompt identification of patients with moderate to severe depressive symptoms, referral for evaluation, and psychological/behavioral treatment are key to maximizing treatment outcomes and quality of life for individuals with advanced NSCLC.