The objective of this study was to review the literature on depression in palliative cancer care in order to identify which assessment methods and classification systems have been used in studies of depression. Extensive electronic database searches in PubMed, CancerLit, CINAHL, PsychINFO, EMBASE and AgeLine as well as hand search were carried out. In the 202 included papers, 106 different assessment methods were used. Sixty-five of these were only used once. All together, the Hospital Anxiety and Depression Scale (HADS) was the most commonly used assessment method. However, there were regional differences and while the HADS dominated in Europe it was quite seldom used in Canada or in the USA. Few prevalence and intervention studies used assessment methods with an explicit reference to a diagnostic system. There were in total few case definitions of depression. Among these, the classifications were in general based on cut-off scores (77%) and not according to diagnostic systems. The full range of the DSM-IV diagnostic criteria was seldom assessed, i.e. less than one-third of the assessments in the review took into account the duration of symptoms and 18% assessed consequences and impact upon patient functioning. A diversity of assessment methods had been used. Few studies classified depression by referring to a diagnostic system or by using cut-off scores. Evidently, there is a need for a consensus on how to assess and conceptualize depression and related conditions in palliative care.