Depressive disorders are very common in neurological diseases and have specific ways of being diagnosed and treated. This review evaluates depressive disorders in five frequent neurological diseases: headache, dementia, epilepsy, stroke, and Parkinson’s disease. Headache shows a wide overlap with depression when somatic symptoms are considered. Therefore, we have to focus our clinical attention on cognitive-affective symptoms. Dementia shows a slow appearance of symptoms, very often over months, while depressive symptoms appear in weeks. Depression in epilepsy presents as a dysthymic disorder with mild endogenous symptoms and outstanding affective-somatoform symptoms, which are called interictal disphoric disorder. Its treatment should be based on antidepressants capable of maintaining convulsive threshold, for instance, sertraline. Depressive episodes usually appear within months of the initial stroke, and on average last 42 weeks. Nortriptiline is the most useful drug to treat these depressive states. In Parkinson’s disease, depression should not be evaluated using lack of energy, late insomnia, or psychomotor retardation as criteria, since all of these symptoms are common in Parkinson’s patients even those without depression.