Depression is common but under-treated in patients with cancer, despite being a major modifiable contributor to morbidity and early mortality. Integrating psychosocial care into cancer services through the team-based Collaborative Care Management (CoCM) model has been proven to be effective in improving patient outcomes in cancer centers. However, there is currently a gap in understanding the challenges that patients and their care team encounter in managing co-morbid cancer and depression in integrated psycho-oncology care settings. Our formative study examines the challenges and needs of CoCM in cancer settings with perspectives from patients, care managers, oncologists, psychiatrists, and administrators, with a focus on technology opportunities to support CoCM. We find that: (1) patients with co-morbid cancer and depression struggle to navigate between their cancer and psychosocial care journeys, and (2) conceptualizing co-morbidities as separate and independent care journeys is insufficient for characterizing this complex care context. We then propose the parallel journeys framework as a conceptual design framework for characterizing challenges that patients and their care team encounter when cancer and psychosocial care journeys interact. We use the challenges discovered through the lens of this framework to highlight and prioritize technology design opportunities for supporting whole-person care for patients with co-morbid cancer and depression.