Previous studies have established that scores on Major Depressive Disorder scales are correlated with measures of impairment of psychosocial functioning. It remains unclear, however, whether individual depressive symptoms vary in their effect on impairment, and if so, what the magnitude of these differences might be. We analyzed data from 3,703 depressed outpatients in the first treatment stage of the Sequenced Treatment Alternatives to Relieve Depression (STAR*D) study. Participants reported on the severity of 14 depressive symptoms, and stated to what degree their depression impaired psychosocial functioning (in general, and in the five domains work, home management, social activities, private activities, and close relationships). We tested whether symptoms differed in their associations with impairment, estimated unique shared variances of each symptom with impairment to assess the degree of difference, and examined whether symptoms had variable impacts across impairment domains. Our results show that symptoms varied substantially in their associations with impairment, and contributed to the total explained variance in a range from 0.7% (hypersomnia) to 20.9% (sad mood). Furthermore, symptoms had significantly different impacts on the five impairment domains. Overall, sad mood and concentration problems had the highest unique associations with impairment and were among the most debilitating symptoms in all five domains. Our findings are in line with a growing chorus of voices suggesting that symptom sum-scores obfuscate relevant differences between depressed patients and that substantial rewards will come from close attention to individual depression symptoms.