This study aims to examine whether the risk for depression differs between using a disease- and a health-oriented instrument in elite youth sport and to uncover relationships of risk with concern to age, sex, type of sport, and level of performance. A sample of 549 eleven- to twenty-one-year-old elite athletes were screened using the German versions of the Patient Health Questionnaire-2 (PHQ-2) and the WHO Well-Being Index-5 (WHO-5). For external validity, the state of physical well-being and mood state, as well as recovery measures, were assessed. The proportions of athletes at high risk for mental health problems were 11.3% (PHQ-2) and 12.8% (WHO-5) of the participants. Young athletes (<15 years old) and male athletes showed lower risk values compared with older or female athletes. Moreover, PHQ-2 and WHO-5 values correlated with physical well-being and subjective sleep parameters. Both instruments were practical and diagnostically conclusive. Further studies on the validation of the instruments are recommended.