The Centre for Epidemiologic Studies of Depression (CES-D) and the Euro-D are commonly used depressive symptom scales but their comparability has not been assessed to date. This article aims to contribute to the literature comparing the drivers of depression in old age across countries by examining whether CES-D (in its eight-item short version) and Euro-D are comparable. Data from the Survey of Health, Ageing and Retirement in Europe (SHARE, N = 15,487) covering 13 countries was used to examine the scales’ distributional properties, systematic differences between population subgroups, sensitivity and specificity, and associations with established risk factors for depression in old age. CES-D and Euro-D were strongly correlated (r = 0.6819, p < 0.000). However, agreement between the two scales was moderate. There were systematic discrepancies in scores by demographic characteristics. CES-D captures a more extreme pool of depressed individuals than Euro-D. Although associations with risk factors are always in the same direction, they are often stronger for CES-D than Euro-D. Findings highlight the need to be cautious when comparing depression levels and associations with risk factors between surveys using different measures of depressive symptoms. Copyright © 2015 John Wiley & Sons, Ltd.