Objective University students are vulnerable to depression and other co‐occurring mental disorders, but few receive treatment. Male university students are at particular risk of not receiving assistance. A better understanding of gender differences in the experience of depression may assist in improving its detection and the provision of appropriate support and prevention strategies. Accordingly, this study aimed to identify whether male and female university students have different patterns of self‐reported depression and co‐occurring anxiety and stress. Method A total of 1,401 first year students from a regional Australian university completed the 21‐item version of the Depression Anxiety and Stress Scales. Data were collected in 2001, 2006, 2010, and 2012. Multidimensional scaling analyses were conducted to identify patterns of depression, anxiety, and stress in men and women with different depression severity. Results Depressed men reported mixed patterns of depression, anxiety, and stress that were clustered by behavioural and physiological function, whereas depressed women reported distinctive patterns of depression, anxiety, and stress as prescribed by categories of the individual Depression Anxiety and Stress Scales. Conclusions Depressed male and female university students may categorise and interpret their psychological distress differently. Depressed men might tend to categorise symptoms by function and physiology, whereas depressed women might prefer to use common verbally defined constructs of psychological distress. It may be important for mental health professionals to consider these gender differences in categorisation and patterns of symptoms when screening for depression to increase chances of university students receiving appropriately targeted treatment.