Background Depression is one of the most common mental disorders in people with advanced cancer. Although cognitive-behavioural therapy (CBT) has been shown to be effective for depression in people with cancer, it is unclear whether this is the case for people with advanced cancer and depression.Aims We sought to determine whether CBT is more clinically effective than treatment as usual (TAU) for treating depression in people with advanced cancer (trial registration number ISRCTN07622709).Method A multi-centre, parallel-group single-blind randomised controlled trial comparing TAU with CBT (plus TAU). Participants (n = 230) with advanced cancer and depression were randomly allocated to (a) up to 12 sessions of individual CBT or (b) TAU. The primary outcome measure was the Beck Depression Inventory-II (BDI-II). Secondary outcome measures included the Patient Health Questionnaire-9, the Eastern Cooperative Oncology Group Performance Status, and Satisfaction with Care.Results Multilevel modelling, including complier-average intention-to-treat analysis, found no benefit of CBT. CBT delivery was proficient, but there was no treatment effect (-0.84, 95% CI -2.76 to 1.08) or effects for secondary measures. Exploratory subgroup analysis suggested an effect of CBT on the BDI-II in those widowed, divorced or separated (-7.21, 95% CI -11.15 to -3.28).Conclusions UK National Institute for Health and Care Excellence (NICE) guidelines recommend CBT for treating depression. Delivery of CBT through the Improving Access to Psychological Therapies (IAPT) programme has been advocated for long-term conditions such as cancer. Although it is feasible to deliver CBT through IAPT proficiently to people with advanced cancer, this is not clinically effective. CBT for people widowed, divorced or separated needs further exploration. Alternate models of CBT delivery may yield different results.