Cancer causes profound suffering for patients, and previous reports have demonstrated that psychological distress, particularly depression, is frequently observed in advanced and/or terminally ill cancer patients. Such depression can lead to serious and far-reaching negative consequences in patients with advanced cancer: reducing their quality of life and causing severe suffering, a desire for early death, and suicide, as well as psychological distress in family members. For the management of their distress, cancer patients are more likely to prefer psychotherapeutic interventions to pharmacotherapy, and psychotherapy is known to be effective for the management of depression among advanced cancer patients. Hence, psychotherapy is an important treatment strategy for alleviating their depression. Furthermore, patients with advanced and/or terminal cancer suffer from various physical symptoms and are forced to face a continuous decline in physical function. In addition, psychological defense mechanisms such as denial are frequently observed in these patients. Hence, an individually tailored and careful psychotherapeutic approach should be followed, which considers the specific nature of the advanced and/or terminal cancer. This review focuses on psychological interventions that can be utilized in the clinical oncology practice to ameliorate depression among advanced and/or terminally ill cancer patients, rather than focusing on the level of evidence for each intervention. In addition, the current review introduces some novel therapeutic strategies that have not yet been proved to be effective but show promise for future studies.