Background Depression persist in cancer patients and cause an additional burden during treatment course making it more challenging in terms of its management and control. We aimed to explore the prevalence and risk factors of depression among cancer patients in the inpatient and outpatient settings. Methodology A total of 1,011 patients (399 inpatients and 612 outpatients) formed the study sample. Patients' depressive status was assessed using the Hospital Anxiety and Depression Scale (HADS) and Patient Health Questionnaire (PHQ-9) scale. Prevalence rate of depression was estimated by dividing the number of patients who exceeded the borderline score (10 or more for each subscale) of the HADS scale and (15 or more). Risk factors were identified using logistic regression. Results The prevalence of depression among all patients was 23.4%. Depression was more prevalent across patients who are hospitalized (37.1%) compared to patients in the outpatient setting (14.5%). In the inpatient setting, depression was more prevalent among patients with bladder cancer, while in the outpatient setting, depression was more prevalent among breast and prostate cancer patients. Despite that 24.8% of the patients reported that they feel depressed, 15.5% of them were using medications to manage them. Conclusions There is a need to consider depressive disorders as part of the treatment protocol for cancer patients. Enhanced clinical monitoring and treatment of depression among cancer patients are required.