Individuals who undergo chemotherapy for cancer are at elevated risk of developing depressive symptoms, yet substantial interindividual variation exists in trajectories of these symptoms. To examine interindividual variations in trajectories of depressive symptoms during 2 cycles of chemotherapy and to evaluate associations between demographic and clinical characteristics, symptom severity scores, psychological adjustment characteristics (eg, stress and coping), and initial levels and trajectories of depressive symptoms. Patients (n = 1323) diagnosed with breast, gynecologic, lung, or gastrointestinal cancer completed the Center for Epidemiological Studies-Depression Scale 6 times, over 2 cycles of chemotherapy. At enrollment, patients provided demographic information and completed a broad range of symptom, stress, and coping measures. Hierarchical linear modeling was used to identify characteristics associated with initial levels and trajectories of depressive symptoms. Interindividual differences in initial levels of depressive symptoms were associated with marital status, functional status, level of comorbidity, chemotherapy toxicity, sleep disturbance, morning fatigue, cognitive function, global and cancer-related stress, and coping characteristics (ie, sense of coherence, venting, behavioral disengagement, and self-blame). Interindividual differences in depression trajectories were associated with education, cancer type, chemotherapy toxicity, sleep disturbance, evening energy, evening fatigue, cognitive function, global and cancer-related stress, and self-blame. We present new findings concerning the trajectories and predictors of depressive symptoms during chemotherapy. Modifiable risk factors (eg, stress and coping) are important targets for intervening to address depressive symptoms in oncology patients.