Objective It is estimated that as many as 38% of cancer patients suffer from depression, which may have distal impacts on cancer care, including clinical outcomes, health care utilization, and cost of care. The purpose of this study was to determine the impact of depression on overall healthcare utilization among patients with cancer. Methods A retrospective analysis of administrative data was conducted on 5055 patients with an ICD‐9 diagnosis of cancer from a single large healthcare system. Of these, 561 (11.1%) had ICD‐9 diagnoses consistent with a depressive disorder. Negative binomial regression modeling was used to test the association between depression status and total annual healthcare visits for the year 2011. Logistic regression was used to examine the association between depression and secondary outcomes of emergency department visit, overnight hospitalization, and 30‐day hospital readmission. Results After adjusting for age, gender, race/ethnicity, insurance type, medical comorbidities, length of time with cancer, and metastatic status, depressed patients had significantly more annual non‐mental health provider healthcare visits (aRR = 1.76, 95% CI = 1.61–1.93), and were significantly more likely to have an ED visit (OR = 2.45; 95% CI = 1.97–3.04), overnight hospitalization (OR = 1.81; 95% CI = 1.49–2.20), and 30‐day hospital readmission (OR = 2.03; 95% CI = 1.48–2.79) than non‐depressed patients with cancer. Conclusions Among patients with cancer, the presence of depression was associated with greater healthcare utilization. Effective screening for, and management of, depression may help reduce overall healthcare utilization and cost while improving care quality. Copyright © 2016 John Wiley & Sons, Ltd.