Objectives: we investigated the prevalence and associated factors of depression and complicated grief (CG) among bereaved family members of malignant pleural mesothelioma (MPM) patients in Japan. Methods: Bereaved family members of MPM patients (n = 72) were surveyed. The Japanese version of the Patient Health Questionnaire-9 (PHQ-9) and the Japanese version of the Brief Grief Questionnaire (BGQ) were used to assess depression and complicated grief (CG), respectively. Socio-economic factors, anger toward asbestos, care satisfaction, achievement of good death, and quality of end-of-life care were assessed in relation to depression and CG. Results: In the family members of MPM patients, the frequencies of depression and CG were 19.4% and 15.3%, respectively. The bereaved family members who were not compensated by the asbestos-related health-damage relief system (p = 0.018) and who felt the financial impacts of the patient’s MPM on the family (p = 0.006) had a higher likelihood of depression. The bereaved family members who were not satisfied with the care given when the patient became critical (p = 0.034), who were not compensated by the asbestos-related health-damage relief system (p = 0.020), who felt the financial impact of the patient’s MPM on the family (p = 0.016), and whose deceased relative underwent surgery (p = 0.030) had a higher likelihood of CG. Conclusions: For bereaved family members of MPM patients, routine screening for depression and CG and the provision of grief care are suggested. In addition, for family members of MPM patients, financial support, including the promotion of the asbestos-related health-damage relief system, and improved care for patients who undergo surgery and when patients become critical, are recommended.