Utility is a measure of undesirability for a specific health state. This study determines the utility scores for the individual symptoms of depression, and examines the impact that personal experience with depression has on these scores. Seventy-five subjects (19 with current depression, 21 with past depression, and 35 healthy controls) assigned utility scores to each of 10 individual symptoms of depression, and three depression severity profiles. Utility scores were measured using the standard gamble technique. Mean utility scores were used to list the symptoms of depression from most to least undesirable. The three diagnostic groups were compared with respect to the magnitude of undesirability of the depressive symptoms. The results of this study found that individuals assigned different utility scores to different symptoms of depression. The psychological symptoms of depression such as suicidal ideation, guilt and depressed mood were ranked as more undesirable than the somatic symptoms of depression. Each diagnostic group ranked the symptoms of depression in a similar manner. Patients with a current depression were willing to accept a greater risk of death to avoid suffering from lifelong depressive symptoms as compared to patients with a past depression or healthy controls.