Background In many countries, depressed individuals often first visit primary care settings for consultation, but a considerable number of clinically depressed patients remain unidentified. Introducing additional screening tools may facilitate the diagnostic process. Objective This study aimed to examine whether experience sampling method (ESM)-based measures of depressive affect and behaviors can discriminate depressed from nondepressed individuals. In addition, the added value of actigraphy-based measures was examined. Methods We used data from 2 samples to develop and validate prediction models. The development data set included 14 days of ESM and continuous actigraphy of currently depressed (n=43) and nondepressed individuals (n=82). The validation data set included 30 days of ESM and continuous actigraphy of currently depressed (n=27) and nondepressed individuals (n=27). Backward stepwise logistic regression analysis was applied to build the prediction models. Performance of the models was assessed with goodness-of-fit indices, calibration curves, and discriminative ability (area under the receiver operating characteristic curve [AUC]). Results In the development data set, the discriminative ability was good for the actigraphy model (AUC=0.790) and excellent for both the ESM (AUC=0.991) and the combined-domains model (AUC=0.993). In the validation data set, the discriminative ability was reasonable for the actigraphy model (AUC=0.648) and excellent for both the ESM (AUC=0.891) and the combined-domains model (AUC=0.892). Conclusions ESM is a good diagnostic predictor and is easy to calculate, and it therefore holds promise for implementation in clinical practice. Actigraphy shows no added value to ESM as a diagnostic predictor but might still be useful when ESM use is restricted.