The aim of the study was to explore the prevalence of specific symptoms of depression in athletes and to test differences in the likelihood of athletes exhibiting these symptoms across age, sex, type of team sport, and level of competition. A sample of Icelandic male and female team sport athletes (N = 894, 18–42 years) was included in the study. Of the athletes exhibiting clinically significant depressive symptoms on the Patient Health Questionnaire-9, 37.5% did not exhibit core symptoms of depression. Compared with males, females were significantly more likely to exhibit depressed mood, feelings of worthlessness/guilt, and problems with sleep, fatigue, appetite, and concentration. Within males, differences were mostly related to neurovegetative aspects of depression (sleep and appetite), whereas in females, differences were related to cognitive/emotional aspects (e.g., depressed mood, guilt/worthlessness). The findings underline the importance of exploring specific symptoms of depression to provide a richer understanding of depressive symptomology in athletes.