This study investigated differences in the scores, relative severity and major depressive disorder (MDD) and subsyndromal depression status from three standardised self-report scales for depression in prostate cancer (PCa) patients. The Hospital Anxiety and Depression Scale Depression subscale (HADS-D), the Self-rating Depression Scale (SDS) and the Patient Health Questionnaire (PHQ-9) for depression were administered to a sample of 138 PCa patients via mail-out self-reports in Queensland, Australia during May 2014. Despite significant correlations between the total scores from the three scales, severity classification differed across the three scales and there was evidence of considerable underestimation of depression by the HADS-D compared to the PHQ-9, and a similar tendency for the SDS. When patients were classified as fulfilling the criteria for Subsyndromal Depression on the PHQ-9, there were statistically significant differences in the proportion of patients who met those criteria using the HADS-D and the SDS, with large underestimation also present for these two scales. Scale construction and depression items included can produce different results across scales, making inter-study comparisons difficult. Implications for research and clinical practice are described.