The primary aim is to evaluate the effectiveness of an intervention based on a psychoeducational program carried out by primary care nurses, to improve the rate of remission and response of depression in patients with physical chronic illness (diabetes, COPD, asthma and / or ischemic heart disease). Secondarily, to assess the cost-effectiveness of the intervention, the effectiveness to improve the control of physical pathology, the impact on quality of life and the feasibility of the intervention.