Objectives: Depression is associated with considerable impairments in health-related quality-of-life. However, the relationship between different health states related to depression severity and utility scores is unclear. The aim of this study was to evaluate whether utility scores are different for various health states related to depression severity. Methods: We gathered individual participant data from ten randomized controlled trials evaluating depression treatments. The UK EQ-5D and SF-6D tariffs were used to generate utility scores. We defined five health states that were proposed from American Psychiatric Association and National Institute for Clinical Excellence guidelines: remission, minor depression, mild depression, moderate depression, and severe depression. We performed multilevel linear regression analysis. Results: We included 1629 participants in the analyses. The average EQ-5D utility scores for the five health states were 0.70 (95% CI 0.67–0.73) for remission, 0.62 (95% CI 0.58–0.65) for minor depression, 0.57 (95% CI 0.54–0.61) for mild depression, 0.52 (95%CI 0.49–0.56) for moderate depression, and 0.39 (95% CI 0.35–0.43) for severe depression. In comparison with the EQ-5D, the utility scores based on the SF-6D were similar for remission (EQ-5D = 0.70 vs. SF-6D = 0.69), but higher for severe depression (EQ-5D = 0.39 vs. SF-6D = 0.55). Conclusions: We observed statistically significant differences in utility scores between depression health states. Individuals with less severe depressive symptoms had on average statistically significant higher utility scores than individuals suffering from more severe depressive symptomatology. In the present study, EQ-5D had a larger range of values as compared to SF-6D.