Methods: We will conduct an 18-day randomized, double-blind, fixed-dose (10 mg bid), placebo-controlled clinical trial of methylphenidate for depression in eligible veteran and non-veteran cancer patients with advanced cancer in the following settings: inpatient and outpatient hospice, inpatient and outpatient palliative care, and inpatient and outpatient cancer clinics. We will determine whether improvement in depression is mediated by decreased pain and document the safety and tolerability of methylphenidate in these patients. We will explore whether improvement in depression results in improved quality of life for these patients, and decreases caregiver depression and burden.