The persistence of a depressive episode in coronary artery disease (CAD) patients not only heightens the risk of acute ischemic events, but it is also associated with accelerated cognitive decline. Antidepressant interventions for depression in CAD have only modest effects and novel approaches are limited by a poor understanding of etiological mechanisms. This review proposes that the platelet activating factor (PAF) family of lipids might be associated with the persistence of a depressive episode and related neurodegenerative pathology in CAD due to their association with leading etiological mechanisms for depression in CAD such as inflammation, oxidative and nitrosative stress, vascular endothelial dysfunction, and platelet reactivity. The evidence implicating PAFs in CAD, vascular pathology, and neurodegenerative processes is also presented. We also propose future directions for the investigation of PAFs as mediators of persistent depression. In summary, PAFs are implicated in leading mechanisms associated with depression in CAD. PAFs may therefore be associated with the persistence of depression in CAD and related to neurodegenerative and cognitive sequelae.