Background Depression is the most common psychiatric disorder in geriatrics and oncology. For elderly cancer patients, it has a significant impact on quality of life, morbidity, and mortality. Nevertheless, depression is under‐diagnosed and under‐treated. Cancer management is key in improving the quality of care in this population. We aim to identify sociodemographic, clinical, and treatment‐related factors of depression in elderly patients during chemotherapy, thus allowing early detection of patients in need of specific treatment. Further, we investigate whether chemotherapy efficacy and safety are associated with depression. Patients and methods A prospective multicenter cohort composed of incident cases of cancer diagnosed in patients 70 years and older, receiving first‐line chemotherapy. Depressive symptoms were measured by the Geriatric Depression Scale at baseline and after four chemotherapy cycles. Associations between depressive symptoms during chemotherapy and patients' clinical and treatment characteristics were identified by logistic regression. Results Among 344 patients measured for depression before chemotherapy, 260 had a second assessment at the fourth treatment cycle. At baseline, 45.4% were depressed, and 44.6% were depressed after the fourth cycle. Independent factors of depression were depressive symptoms at baseline (odds ratio (OR) = 6.7, p < 0.001), malnutrition (OR = 5.1, p = 0.014), and risk of malnutrition (OR = 1.6, p = 0.014). After controlling for missing data, effective chemotherapy was associated with a lower risk of depression (OR = 0.4, p = 0.018). Conclusion We highlight the role of depressive symptoms and nutritional status at baseline, on the occurrence of depressive symptoms during chemotherapy. These factors should be taken into account in any pre‐treatment consultation and appropriate nutritional and psychiatric preventative measures established. Copyright © 2016 John Wiley & Sons, Ltd.