Objective To determine the effectiveness of methylphenidate for depression treatment in patients with advanced cancer. Design An 18‐day randomized, double‐blind, placebo‐controlled clinical trial of methylphenidate for treatment of depression in selective serotonin reuptake inhibitor‐treated patients with advanced cancer in hospice or receiving palliative care. The primary outcome was depression remission, defined as a ≥50% reduction in score on the Montgomery‐Asberg Depression Rating Scale. Results Among 47 enrolled participants, 34 were randomized. At study day 18, 85% of the methylphenidate and 60% of the placebo group were in depression remission (P = .22). Mean time to depression remission was 10.3 days [standard error (SE) 1.8] in the methylphenidate and 8.1 (SE 1.3) in the placebo group (P = .48). The mean baseline score for the Hospital Anxiety and Depression Scale (HADS) was 10.4 in each group and decreased by 3.6 (SE 1.1) in the methylphenidate and 2.3 (SE 1.2) in the placebo group (P = .51) by day 18. Once in remission, 1 methylphenidate and 5 placebo participants relapsed to depression (P = .18). There was no difference in mortality between the groups during the trial. Trial results were limited by small sample size attributed to difficulties in recruiting terminally ill patients. Conclusions This trial failed to demonstrate that methylphenidate treatment in selective serotonin reuptake inhibitor‐treated patients had a significant effect on depression remission in patients with advanced cancer. This study underscores the difficulties in conducting trials for symptom management in patients with shortened life expectancy.