Background: Elderly individuals (age >65 years) with cancer are at high risk for newly diagnosed depression after a cancer diagnosis. It is not known whether the risk of newly diagnosed depression varies by cancer type. Purpose: To examine the variations in the risk of newly diagnosed depression by cancer type among elderly individuals with cancer. Methods: This study used a retrospective cohort study design and data from the linked SEER-Medicare files. Elderly individuals (age >65 years) with incident breast, colorectal (CRC), and prostate cancers diagnosed between 2007 and 2011 (N=53,821) were followed for 12 months after cancer diagnosis. Depression diagnosis was identified during the 12-month follow-up period after cancer diagnosis using the ICD-9-Clinical Modification. Complementary log–log regression was used to examine the association between cancer type and risk of newly diagnosed depression after adjusting for other risk factors for depression. Results: We found a significantly higher percentage of newly diagnosed depression among women with CRC compared with those with breast cancer (5.8% vs 3.9%), and among men with CRC compared with those with prostate cancer (3.4% vs 1.6%). In the adjusted analysis, women with CRC had a 28.0% higher risk of newly diagnosed depression compared with women with breast cancer (adjusted risk ratio [ARR], 1.28; 95% CI, 1.12–1.46) and men with CRC had a 104.0% higher risk of newly diagnosed depression compared with those with prostate cancer (ARR, 2.04; 95% CI, 1.65–2.51). Conclusions: Our findings identified cancer types associated with a high risk of newly diagnosed depression after cancer diagnosis, who might benefit from routine depression screening to help in its early detection and treatment.