The construct validity of two depression measures, Zung’s Self-rating Depression Scale (SDS) and the Asian Adolescents Depression Scale (AADS), was investigated. Three studies were conducted using two samples collected in two stages, and the results were used to construct the Asian Depression Scale (ADS). Participants responded to the SDS and AADS in random order of presentation during stage 1; two months later, validation variables were collected. Study 1 found that the SDS is a reliable and valid measure of depression for Singaporean Chinese, but it does not cover the interpersonal dimension found in the AADS. Study 2 combined the two measures and found six factors. One of these factors, negative social self, which was a unique Asian depressive symptom cluster, consisted only of AADS items, while the affective manifestation and psychosomatic symptoms factor primarily consisted of items from the SDS. Study 3 selected high-loading items from the identified factors to construct the ADS, which showed excellent internal reliability, and good convergent and discriminant validity. Incremental predictive validity found on criterion data collected in stage 2, supported the nonspuriousness of the Asian Depression Scale.