Depression is one of the leading causes of disability in the developed world. Previous studies have shown varying depression prevalence rates between European countries, and also within countries, between socioeconomic groups. However, it is unclear whether these differences reflect true variations in prevalence or whether they are attributable to systematic differences in reporting styles (reporting heterogeneity) between countries and socioeconomic groups. In this study, we examine the prevalence of three depressive symptoms (mood, sleeping and concentration problems) and their association with educational level in 10 European countries, and examine whether these differences can be explained by differences in reporting styles. We use data from the first and second waves of the COMPARE study, comprising a sub-sample of 9,409 adults aged 50 and over in 10 European countries covered by the Survey of Health, Ageing and Retirement in Europe. We first use ordered probit models to estimate differences in the prevalence of self-reported depressive symptoms by country and education. We then use hierarchical ordered probit models to assess differences controlling for reporting heterogeneity. We find that depressive symptoms are most prevalent in Mediterranean and Eastern European countries, whereas Sweden and Denmark have the lowest prevalence. Lower educational level is associated with higher prevalence of depressive symptoms in all European regions, but this association is weaker in Northern European countries, and strong in Eastern European countries. Reporting heterogeneity does not explain these cross-national differences. Likewise, differences in depressive symptoms by educational level remain and in some regions increase after controlling for reporting heterogeneity. Our findings suggest that variations in depressive symptoms in Europe are not attributable to differences in reporting styles, but are instead likely to result from variations in the causes of depressive symptoms between countries and educational groups.