Better knowledge of the depression phenomena is required, as is an explanation of why some students experience depression while others do not. This research aimed to examine the incidence of depression symptoms among students pursuing health professions (HP) and investigate the relationship between depressive symptoms and sociodemographic characteristics (e.g., gender, discipline, and year of study). The research sample for this cross-sectional, descriptive-analytic investigation was chosen using a stratified proportional sampling technique in the 2012–2013 school year. The 21-item Beck Depression Inventory (BDI II) was used to test for depression symptoms in students from four health professions schools housed inside a large public university in Riyadh, Saudi Arabia. To compare various categorical variables, the chi-square test, student t-test, and ANOVA were used. Overall, 79.0% of students responded, with dentistry students having the highest percentage (86.1%) and nursing students having the lowest (49.7%). Depressive symptoms were present in 47.0% of students overall, with the greatest frequency among dental students (51.6%), followed by medicine (46.2%), applied medical sciences (AMS) (45.7%), and nursing students (44.2%). There was a statistically significant correlation between the year of study and the female gender (p = 0.000) and the presence and intensity of depressive symptoms, respectively. According to this research, the prevalence of depressive symptoms seems to be worrying. Depressive symptoms are more prevalent in females, dentists, third-year students across all institutions, and fifth-year medical and dental students. The causes and explanations for the variance in the prevalence of depressed symptoms among different populations may need additional investigation in future research. Both curriculum-related and individual aspects, such pupils' study abilities, are worthy of investigation.