Advanced lung diseases such as pulmonary arterial hypertension (PAH) and interstitial lung diseases (ILD) are chronic diseases that cause significantly high morbidity and mortality. As a result, patients can undergo some psychological changes leading to a poor quality of life and depression. Diagnosis of depression is often obscured because fatigue and apathy, two common symptoms of depression, frequently overlap with PAH and ILD. Healthcare providers are sometimes reluctant to ask or mistakenly believe that these symptoms are part of the ongoing disease process, rather than a serious condition like depression. Screening tools are available for physicians to be well positioned in recognizing clinical depression in PAH and ILD. A MedLine/PubMED search was performed identifying all relevant articles with "PAH", "ILD", "screening tools" and/or "Depression" in the title. The aim of this review is to provide a brief description of some of the instruments used to screen patients and classes of psychotropic medications accessible to physicians. While pulmonary rehabilitation programs can have a positive impact on patients, physicians should also utilize cognitive behavioral therapy (CBT) as part of regular care.