Fibromyalgia (FM) is a chronic pain syndrome characterized by widespread, persistent pain that lasts more than three months without an evident organic lesion. FM has been considered controversial throughout history due to its validity as a diagnosis being constantly in question. Most patients diagnosed with FM are females. FM has been associated with multiple conditions, including irritable bowel and psychiatric disorders. Among all associated conditions, depression has been frequently found in patients with FM. Studies suggest that depression negatively affects the outcome of patients with FM. Moreover, a bidirectional relation between FM and depression has been depicted: depression increases the risk of FM being diagnosed later in life, as well as FM increases the risk of developing depression. In this article, we discussed aspects that FM and depression share and that might link both diseases, such as certain elements they seem to share in their pathophysiology: predisposing and triggering factors, central sensitization and kindling, areas of the brain implicated in both pain modulation and mood regulation, and hypothalamic-pituitary-adrenal axis (HPA axis) alterations. In addition, we highlighted the prevalence of depression in patients with FM, overlapping symptoms between FM and depression and how to assess them, and treatment strategies that have shown effective management of both conditions when concomitant. Due to the improvement of many aspects of FM when depression is appropriately targeted, screening for depression in patients with FM, despite its difficulty, has been encouraged.