Depressive symptoms are common in coronary artery disease (CAD) patients, and are associated with increased cardiac risk. Although an important relation exists between depression and CAD prognosis, the underlying pathophysiological mechanisms are poorly understood. Additionally, evidence including the recently published ENRICHD (Enhancing Recovery in Coronary Heart Disease Patients) trial suggests that depression treatments do not lower recurrent cardiac risk. The reason for the observed lack of benefit with depression treatment in CAD patients is unclear. In this review, we discuss the impact of depression in CAD patients, the possible mechanisms involved, the studies that have examined the effects of psychological and antidepressant therapies on recurrent cardiac events, and the direction that future research should take.