To compare the effects of yoga program with supportive therapy on self-reported symptoms of depression in breast cancer patients undergoing conventional treatment. Patients and Methods: Ninety-eight breast cancer patients with stage II and III disease from a cance center were randomly assigned to receive yoga (n = 45) and supportive therapy (n = 53) over a 24-week period during which they underwent surgery followed by adjuvant radiotherapy (RT) or chemotherapy (CT) or both. The study stoppage criteria was progressive disease rendering the patient bedridden or any physical musculoskeletal injury resulting from intervention or less than 60% attendance to yoga intervention. Subjects underwent yoga intervention for 60 min daily with control group undergoing supportive therapy during their hospital visits. Beck’s Depression Inventory (BDI) and symptom checklist were assessed at baseline, after surgery, before, during, and after RT and six cycles of CT. We used analysis of covariance (intent-to-treat) to study the effects of intervention on depression scores and Pearson correlation analyses to evaluate the bivariate relationships. Results: A total of 69 participants contributed data to the current analysis (yoga, n = 33, and controls, n = 36). There was 29% attrition in this study. The results suggest an overall decrease in self-reported depression with time in both the groups. There was a significant decrease in depression scores in the yoga group as compared to controls following surgery, RT, and CT (P < 0.01). There was a positive correlation (P < 0.001) between depression scores with symptom severity and distress during surgery, RT, and CT. Conclusion: The results suggest possible antidepressant effects with yoga intervention in breast cancer patients undergoing conventional treatment.