Objective Previous systematic reviews have found limited evidence for the effectiveness of pharmacological and psychological interventions for the management of depression in patients with cancer. This paper provides the first meta‐analysis of newer collaborative care interventions, which may include both types of treatment, as well as integrated delivery and follow‐up. Meta‐analyses of pharmacological and psychological interventions are included as a comparison. Methods A search of MEDLINE, EMBASE, PsycINFO, and the Cochrane Library from July 2005 to January 2015 for randomized controlled trials of depression treatments for cancer patients diagnosed with a major depressive disorder, or who met a threshold on a validated depression rating scale was conducted. Meta‐analyses were conducted using summary data. Results Key findings included 8 reports of 4 collaborative care interventions, 8 pharmacological, and 9 psychological trials. A meta‐analysis demonstrated that collaborative care interventions were significantly more effective than usual care (standardized mean difference = ‐0.49, p = 0.003), and depression reduction was maintained at 12 months. By comparison, short‐term (up to 12 weeks), but not longer‐term effectiveness was demonstrated for both pharmacological and psychological interventions. Conclusions Collaborative care interventions have newly emerged as multi‐disciplinary care delivery models, which may result in more long‐term depression remission. This review also updates previous findings of modest evidence for the effectiveness of both pharmacological and psychological interventions for threshold depression in cancer patients. Research designs focusing on combined treatments and delivery systems may best further the limited evidence‐base for the management of depression in cancer. This article is protected by copyright. All rights reserved.