Most measures of depression severity are based on the number of reported symptoms, and threshold scores are often used to classify individuals as healthy or depressed. This method – and research results based on it – are valid if depression is a single condition, and all symptoms are equally good severity indicators. Here, we review a host of studies documenting that specific depressive symptoms like sad mood, insomnia, concentration problems, and suicidal ideation are distinct phenomena that differ from each other in important dimensions such as underlying biology, impact on impairment, and risk factors. Furthermore, specific life events predict increases in particular depression symptoms, and there is evidence for direct causal links among symptoms. We suggest that the pervasive use of sum-scores to estimate depression severity has obfuscated crucial insights and contributed to the lack of progress in key research areas such as identifying biomarkers and more efficacious antidepressants. The analysis of individual symptoms and their causal associations offers a way forward. We offer specific suggestions with practical implications for future research.