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Abstract Background Depression is prevalent among lung cancer patients undergoing chemotherapy, and the symptom cluster of fatigue-pain-insomnia may influence their depression. Identifying characteristics of patients with different depression trajectories can aid in developing more targeted interventions. This study aimed to identify the trajectories of depression and the fatigue-pain-insomnia symptom cluster, and to explore the predictive factors associated with the categories of depression trajectories. Methods In this longitudinal study, 187 lung cancer patients who were undergoing chemotherapy were recruited and assessed at the first (T1), second(T2), and fourth(T3) months using the Patient Health Questionnaire-9 (PHQ-9), the Brief Pain Inventory (BPI), the Brief Fatigue Inventory (BFI), and the Athens Insomnia Scale (AIS). Growth Mixture Model (GMM) and Latent Class Analysis (LCA) were used to identify the different trajectories of the fatigue-pain-insomnia symptom cluster and depression. Binary logistic regression was utilized to analyze the predictive factors of different depressive trajectories. Results GMM identified two depressive trajectories: a high decreasing depression trajectory (40.64%) and a low increasing depression trajectory (59.36%). LCA showed that 48.66% of patients were likely members of the high symptom cluster trajectory. Binary logistic regression analysis indicated that having a history of alcohol consumption, a higher symptom cluster burden, unemployed, and a lower monthly income predicted a high decreasing depression trajectory. Conclusions Depression and fatigue-pain-insomnia symptom cluster in lung cancer chemotherapy patients exhibited two distinct trajectories. When managing depression in these patients, it is recommended to strengthen symptom management and pay particular attention to individuals with a history of alcohol consumption, unemployed, and a lower monthly income.