Objective This study aimed to compare the prevalence of depressed mood and anhedonia in a sample of men with prostate cancer (PCa) and to determine which of these key symptoms contributed most to the overall depressive status of that sample. Method From Zung Self‐rating Depression Scale (SDS) responses collected on 526 PCa patients, direct comparisons were made between the prevalence of the first two DSM‐IV‐TR symptoms of Major Depressive Episode. These symptoms were then tested for their predictive power on depression total score and Zung's criteria for ‘clinically significant’ depression. Results Mean scores for anhedonia were significantly higher than for depressed mood, and nearly 25 times as many patients had a high score for anhedonia as for depressed mood. The same pattern of results was apparent for those patients who had clinically significant levels of depression. Anhedonia was a more powerful predictor of total SDS depression score for the entire sample as well as for those patients with more severe depression. Conclusion Because the biological basis for anhedonia is different to that for depressed mood, treatment options also differ for patients who show a preponderance of anhedonia in their depressive symptomatology. Suggestions are made for treatment choices for these PCa patients. Copyright © 2012 John Wiley & Sons, Ltd.