Objectives: The aims of this study are: to analyze the factor structure of the EURO-D depression scale; to explore the variables associated with depressive symptoms in the total sample and in the EURO-D factors; and to compare the presence of depressive symptoms and the factor distribution in 15 European countries. Method: 62,182 participants in Wave 5 (2013) of the Survey of Health, Aging and Retirement in Europe (SHARE) were included. Instruments: The SHARE study and the EURO-D scale. Factor, bivariate and multilevel analyses were performed. Results: Higher levels of depressive symptoms were associated with a poorer self-perception of physical health (η2 = 0.22) and economic difficulties (η2 = 0.07). Factor analysis of the EURO-D identified two factors: Suffering and Motivation. Higher levels of depressive symptoms were associated with female gender and younger age (≤ 60) in the Suffering factor, and with less activity and exercise, older age (≥ 71), widowhood and lower educational level in the Motivation factor. Poorer self-perception of physical health and economic difficulties were associated with higher depressive symptomatology in both factors. Conclusions: Poorer self-perception of physical health, female gender, economic difficulties, widowhood, lower levels of activity and exercise and lower educational level were associated with higher depressive symptomatology. In the countries of southern Europe, the Motivation factor predominated.