Introduction: Across all cancer sites and stages, prostate cancer has one of the greatest median five-year survival rates, highlighting the important focus on survivorship issues following diagnosis and treatment. In the current study, we sought to evaluate the prevalence and predictors of depression in a large, multicenter, contemporary, prospectively collected sample of men with prostate cancer. Methods: Data from the current study were drawn from the baseline visit of men enrolled in the RADICAL PC study. Men with a new diagnosis of prostate cancer or patients initiating androgen deprivation therapy for prostate cancer for the first time were recruited. Depressive symptoms were evaluated using the nine-item version of the Patient Health Questionnaire (PHQ-9). To evaluate factors associated with depression, a multivariable logistic regression model was constructed, including biological, psychological, and social predictor variables. Results: Data from 2445 patients were analyzed. Of these, 201 (8.2%) endorsed clinically significant depression. Younger age (odds ratio [OR] 1.38; 95% confidence interval [CI] 1.16–1.60 per 10-year decrease), being a current smoker (OR 2.77; 95% CI 1.66–4.58), former alcohol use (OR 2.63; 95% CI 1.33–5.20), poorer performance status (OR 5.01; 95% CI 3.49–7.20), having a pre-existing clinical diagnosis of depression or anxiety (OR 3.64; 95% CI 2.42–5.48), and having high-risk prostate cancer (OR 1.49; 95% CI 1.05–2.12) all conferred independent risk for depression. Conclusions: Clinically significant depression is common in men with prostate cancer. Depression risk is associated with a host of biopsychosocial variables. Clinicians should be vigilant to screen for depression in those patients with poor social determinants of health, concomitant disability, and advanced disease.