Background: Utilities are often a main outcome parameter in economic evaluations. Because depression has a large influence on quality of life, it is expected that utilities are responsive to changes in depression. Objective: To evaluate the change in utility derived from different instruments in depression, including the Short Form 6D (SF-6D), the Euroqol based on the UK (EQ-5D(UK)), the Euroqol based on the Dutch tariff (EQ-5D(NL)), and utilities derived from Beck Depression Inventory Second Edition (BDI-II) using the Depression-Free-Day method. Method: This study evaluated the responsiveness, the minimally important difference, and the agreement in utility change derived from the different instruments. Results: The SF-6D, EQ-5D(UK), and EQ-5D(NL) were responsive. The minimally important difference values are in line with previous studies, about 0.3. The Depression-Free-Day method nearly always resulted in positive utility changes, even for subgroups that had no change or deterioration in health status or depression. There was poor agreement between utility changes of the SF-6D, EQ-5D (either EQ-5D(UK) or EQ-5D(NL)), and DFDu. Conclusions: The SF-6D, EQ-5D(UK), and EQ-5D(NL) seem responsive and thus adequate for estimating utility in depression treatment. We do not recommend the use of the Depression-Fee-Day method. The low agreement between utility changes indicates that outcomes of the different instruments are incomparable.