Objective This study aims to develop and test three potential models of Individual Burden of Illness for Depression (IBI-D) in prostate cancer patients. Methods Responses to three sets of scales measuring depressive symptoms, functional impairment, and quality of life satisfaction were collected from 191 prostate cancer patients and analysed via principal components analysis to obtain weightings for each of the scales within the three sets of measures. These weightings were then used to form IBI-D Indices, and these were then compared with depressive symptoms alone for their overlap. Results Single-factor solutions were found for each of the three IBI-D models, demonstrating generalizability across the three models. Equations based on the loadings of each scale within each IBI-D model, divided by the standard deviation of total IBI-D scores, were used to form IBI-D Indices. Although the correlations between the Patient Health Questionnaire-9 (PHQ9) and each of these IBI-D Indices were statistically significant, between one-quarter and one-fifth of the variance in IBI-D Indices was not accounted for by PHQ9 score alone, demonstrating that the IBI-D Indices provided additional information above that obtainable from a measure of depression alone. Conclusions The IBI-D Index can be used to more completely assess the overall effects of depression in prostate cancer patients, the associations between those effects and predictor variables, and the outcomes of intervention studies aimed at decreasing depression (and its effects) in these men.