In behavioral medicine, there is adequate support for behavior modification strategies in reducing depression and anxiety in medical patients. There is comparably less support for cognitive interventions with these patients. Treatment outcome studies with cancer patients generally support the efficacy of cognitive–behavioral interventions, but studies have significant methodological limitations. Additionally, cognitive–behavioral therapy for depression incorporates numerous treatment components, and when examining data with nomothetic statistics, important individual differences may go unrecognized. With reference to the sudden gain literature on significant session-by-session treatment gains, this paper highlights the cognitive–behavioral treatment of two breast cancer patients with clinical depression. In addition to positive treatment outcome in which depression was significantly reduced and quality of life and medical outcomes improved, session-based sudden change data suggest that for these cancer patients, cognitive interventions were most significant in accounting for treatment gains. Findings are reviewed in the context of mechanism of change issues in the cognitive–behavioral treatment of depression.