Background: Symptoms of major depressive disorder (MDD) are commonly assessed using self-rating instruments like the Patient Health Questionnaire-9 (PHQ-9) (current symptoms) and the Composite International Diagnostic Interview Short-Form (CIDI-SF) (worst-episode symptoms). We performed a systematic comparison between them for their genetic architecture and utility in investigating MDD heterogeneity. Methods: Using data from the UK Biobank (n = 41,948–109,417), we assessed the single nucleotide polymorphism heritability and genetic correlation (r_g) of both sets of MDD symptoms. We further compared their r_g with non-MDD traits and used Mendelian randomization to assess whether either set of symptoms has more genetic sharing with non-MDD traits. We also assessed how specific each set of symptoms is to MDD using the metric polygenic risk score pleiotropy. Finally, we used genomic structural equation modeling to identify factors that explain the genetic covariance between each set of symptoms. Results: Corresponding symptoms reported through the PHQ-9 and CIDI-SF have low to moderate genetic correlations (r_g = 0.43–0.87), and this cannot be fully attributed to different severity thresholds or the use of a skip structure in the CIDI-SF. Both Mendelian randomization and polygenic risk score pleiotropy analyses showed that PHQ-9 symptoms are more associated with traits that reflect general dysphoria, whereas the skip structure in the CIDI-SF allows for the identification of heterogeneity among likely MDD cases. Finally, the 2 sets of symptoms showed different factor structures in genomic structural equation modeling, reflective of their genetic differences. Conclusions: MDD symptoms assessed using the PHQ-9 and CIDI-SF are not interchangeable; the former better indexes general dysphoria, while the latter is more informative about within-MDD heterogeneity.