Background: People living with kidney failure have a complex, unpredictable burden of illness, including depressive symptoms. To detect improvement in depressive symptoms when an intervention is provided, it is imperative to articulate what we mean by “improvement” to inform person-centered practice. Further, patient-reported outcome measures are often regarded as screening tools to inform interventions or evaluate outcomes depicting improvement. Purpose: Our purpose was to examine how improvements may be conceptualized when considering trajectories of depression symptoms for people receiving dialysis treatment. Methods: A realist analysis was undertaken drawing on 30 theory-based documents and interviews with seven therapists to identify ideas about how cognitive behavioral therapy (CBT) as an intervention might support improvements for people undergoing dialysis.  This analysis was contextually supported by 258 people receiving dialysis who were invited to report on their depressive symptoms via the PHQ-9 every 2 weeks over 6 months. Three different methodological approaches were undertaken to examine how improvements may be considered based on changes over time in PHQ-9 scores: variable-centered, person-centered, and person-specific. Results: Theoretically, CBT is assumed to promote adjustment to chronic health conditions and other life stressors through cognitive restructuring. Response shift, a change in meaning or evaluation of depressive symptoms, may be an outcome reflecting improvement due to adjustment processes. Variable-centered approaches depicted an average trajectory of no change over time and assumed to be representative of the overall sample. Person-centered approaches (e.g., latent class growth models) revealed different trajectories with no to minimal change over time for several homogeneous sub-populations. And person-specific approaches (e.g., dynamic structural equation models) further disentangled heterogeneity by revealing intra-individual fluctuations that were otherwise unaccounted for in the other two approaches. Conclusion: To inform equitable people-centered healthcare, improvement may not be revealed by average decreases in PHQ-9 scores but rather by intra-individual differences.