Significant levels of distress usually accompany the entire cancer experience, affecting the patients' general functioning and adaptation to illness. Objective The major objective of the present study was to investigate potential demographic and intrapersonal moderators of the relationship between knowing the cancer diagnosis and the level of depression experienced. Method The present research has a transversal comparative repeated cross‐sectional design (2006–2014), sampling following the proportional quota method. Research was conducted in the four major oncological institutes in Romania, obtaining a national sample of cancer patients, maintaining gender and ethnic rates, and permitting the investigation of the stability of the results from one assessment to the other. Results Results indicate that in the Romanian context, knowing the diagnosis is associated with a lower level of depression than not knowing the diagnosis, the results being similar in both assessments (2006–2014). Furthermore, from the explored demographic factors (gender, residence, age, and education), only age has a main effect upon depression (depression increasing with age), while education is the only factor from those analyzed, which has a moderator effect. Regarding the analyzed intra‐individual variables, only dysfunctional attitudes, emotion‐focused coping, and lack of emotional support from the family (loneliness) have main effects upon the level of depression (i.e., higher levels of dysfunctional attitudes, emotion‐focused coping, and loneliness are associated with higher levels of depression), while neither of them has a moderator effect on the relationship between knowing the diagnosis and depression. Conclusion These results are important in the improvement of the doctor–patient relationship, the management of cancer‐related distress, and implicitly for the course of illness. Copyright © 2016 John Wiley & Sons, Ltd.