Radiotherapy (RT) is a cornerstone of cancer treatment. Following RT, patient-reported outcomes (PROs) collected via standardized questionnaires are crucial for monitoring patients' quality of life and side effects. However, traditional statistical and machine learning methods, which rely on structured numerical data, often fail to capture semantic meaning within patients' health status. To address this, we developed a novel framework using zero- and few-shot large language models (LLMs) to identify patients experiencing mild to severe depression. Furthermore, classification performance is enhanced through parameter-efficient fine-tuning. Experiments on a prostate cancer PRO dataset for depression have demonstrated that our fine-tuned LLMs consistently outperformed other baseline methods across key evaluation metrics.