Background It has been suggested that clinician‐rated scales and self‐report questionnaires may be interchangeable in the measurement of depression severity, but it has not been tested whether clinically significant information is lost when assessment is restricted to either clinician‐rated or self‐report instruments. The aim of this study is to test whether self‐report provides information relevant to short‐term treatment outcomes that is not captured by clinician‐rating and vice versa. Methods In genome‐based drugs for depression (GENDEP), 811 patients with major depressive disorder treated with escitalopram or nortriptyline were assessed with the clinician‐rated Montgomery–Åsberg Depression Rating Scale (MADRS), Hamilton Rating Scale for Depression (HRSD), and the self‐report Beck Depression Inventory (BDI). In sequenced treatment alternatives to relieve depression (STAR*D), 4,041 patients treated with citalopram were assessed with the clinician‐rated and self‐report versions of the Quick Inventory of Depressive Symptomatology (QIDS‐C and QIDS‐SR) in addition to HRSD. Results In GENDEP, baseline BDI significantly predicted outcome on MADRS/HRSD after adjusting for baseline MADRS/HRSD, explaining additional 3 to 4% of variation in the clinician‐rated outcomes (both P < .001). Likewise, each clinician‐rated scale significantly predicted outcome on BDI after adjusting for baseline BDI and explained additional 1% of variance in the self‐reported outcome (both P < .001). The results were confirmed in STAR*D, where self‐report and clinician‐rated versions of the same instrument each uniquely contributed to the prediction of treatment outcome. Conclusions Complete assessment of depression should include both clinician‐rated scales and self‐reported measures.