We investigated the risk of depression in colorectal cancer (CRC) patients and associated risk factors. The 1324 patients with CRC and 6620 matched cancer-free participants from the Diet, Cancer and Health study were followed for up to 16 years for either a first hospitalization for depression or antidepressant prescription after diagnosis of CRC cancer or study entry date. Information on the outcome and covariates was retrieved from the Danish Colorectal Cancer Group database, the national health registries and questionnaires. Cumulative incidence of depression was estimated, and Cox regression models were used to evaluate the association between risk factors and depression incidence. During follow-up, 191 (14.4%) patients with CRC and 175 (2.6%) cancer-free comparison persons experienced depression. After adjustments, in the first year after cancer diagnosis, patients with CRC had a 12-fold higher hazard compared with the cancer-free population (HR, 12.01; 95% CI, 7.89-18.28). The risk decreased during follow-up but remained significantly elevated with an HR of 2.65 (95% CI, 1.61-4.36) after five years. Identified risk factors were presence of comorbidities, advanced disease stage and use of radiotherapy, while life style factors (pre-cancer or at diagnosis) and chemotherapy did not seem to contribute to the increased risk.