Abstract Objective Two previous individual participant data meta-analyses (IPDMAs) found that different diagnostic interviews classify different proportions of people as having major depression overall or by symptom levels. We compared the odds of major depression classification across diagnostic interviews among studies that administered the Depression subscale of the Hospital Anxiety and Depression Scale (HADS-D). Methods Data accrued for an IPDMA on HADS-D diagnostic accuracy were analysed. We fit binomial generalized linear mixed models to compare odds of major depression classification for the Structured Clinical Interview for DSM (SCID), Composite International Diagnostic Interview (CIDI), and Mini International Neuropsychiatric Interview (MINI), controlling for HADS-D scores and participant characteristics with and without an interaction term between interview and HADS-D scores. Results There were 15,856 participants (1942 [12%] with major depression) from 73 studies, including 15,335 (97%) non-psychiatric medical patients, 164 (1%) partners of medical patients, and 357 (2%) healthy adults. The MINI (27 studies, 7345 participants, 1066 major depression cases) classified participants as having major depression more often than the CIDI (10 studies, 3023 participants, 269 cases) (adjusted odds ratio [aOR] = 1.70 (0.84, 3.43)) and the semi-structured SCID (36 studies, 5488 participants, 607 cases) (aOR = 1.52 (1.01, 2.30)). The odds ratio for major depression classification with the CIDI was less likely to increase as HADS-D scores increased than for the SCID (interaction aOR = 0.92 (0.88, 0.96)). Conclusion Compared to the SCID, the MINI may diagnose more participants as having major depression, and the CIDI may be less responsive to symptom severity.