We investigated whether mood and lifestyle-related indicators of physical health are differentially expressed according to self-reported levels of depressive symptoms among young adults with a current episode of major depression. In a cross-sectional study, we recruited 94 young adults (females = 67, 71.3%; males = 27, 28.7%; aged 18–35 years) with a current episode of major depression. We assessed their mood with the Profile of Mood States (POMS), and Beck Anxiety Inventory-(BAI), sleep with the Pittsburgh Sleep Quality Index (PSQI), physical activity with the Simple Physical Activity Questionnaire (SIMPAQ), and their cardiorespiratory fitness. Participants’ depression levels were classified as follows using established cut-points: (a) Mild Depressive Symptoms (MIDS, BDI-II 14-19 points, n = 17), (b) Moderate Depressive Symptoms (MODS, BDI-II 20–28 points, n = 37) or (c) Severe Depressive Symptoms (SEDS, BDI-II 29–63 points, n = 40). As expected, we found that young adults with SEDS, when compared to those with MODS and MIDS, showed higher depressive mood on the POMS, and they exhibited greater anxiety symptoms, lower reported ‘vigor’ on physical activity measures, worse sleep quality as expressed by their global score sleep; daytime dysfunction; and sleep disturbance, and they showed lower cardiorespiratory fitness. Those with moderate depressive symptoms only differed from those with mild symptoms with respect to hostility, fatigue and mood disturbance. Although there was a gradient whereby worse mental and physical health indicators were more closely related to the SEDS depression categorization, while healthier indicators were associated with the MIDS category, some parameters were not different between the MDD severity groups, particularly when comparing MIDS and MODS. Clinicians treating patients with MDD should consider these factors when designing lifestyle-based interventions.