Objectives: The aims of this observational study were to 1) accrue newly diagnosed patients with advanced-stage non-small cell lung cancer (NSCLC) awaiting the start of first-line treatment and identify those with moderate to severe depressive symptoms and, 2) provide a clinical description of the multiple, co-occurring psychological and behavioral difficulties and physical symptoms that potentially exacerbate and maintain depressive symptoms. Materials and methods: Patients with stage IV NSCLC (N = 186) were enrolled in an observational study (ClinicalTrials.gov Identifier: NCT03199651) and completed the American Society of Clinical Oncology-recommended screening measure for depression (Patient Health Questionnaire-9 [PHQ-9]). Individuals with none/mild (n = 119; 64 %), moderate (n = 52; 28 %), and severe (n = 15; 8 %) depressive symptoms were identified. Patients also completed measures of hopelessness, generalized anxiety disorder (GAD) symptoms, stress, illness perceptions, functional status, and symptoms. Results: Patients with severe depressive symptoms reported concomitant feelings of hopelessness (elevating risk for suicidal behavior), anxiety symptoms suggestive of GAD, and traumatic, cancer-specific stress. They perceived lung cancer as consequential for their lives and *