Various trials have been conducted evaluating depression management programs for patients with Coronary Heart Disease (CHD). However, to date, the most effective way to manage this co-morbidity in the real world setting remains unclear. To better understand the past successes and failures of previous trials and subsequently develop suitable interventions that target key components of health related quality of life (HRQOL) such as mental, physical and vocational functioning, we first need to understand the mechanisms underpinning the relationship between the two conditions. This paper will draw on the key literature in this field as identified by psychiatric, medical and social sciences databases (Cochrane Central Register of Controlled Trials, PubMed, OVID, Medline) available up to January 2012, with the aim to conduct a narrative review which explores: the aetiological relationship between depression and CHD; its association with HRQOL; the relationship between CHD, depression and vocational functioning; and the impact of depression treatment on these outcomes. Key recommendations are made regarding the management of this prevalent co-morbidity in clinical settings.