Background Many mental health surveys and clinical studies do not include a multi-attribute utility instrument (MAUI) that produces quality-adjusted life-years (QALYs). There is also some question about the sensitivity of the existing utility instruments to mental health. Aims To compare the sensitivity of five commonly used MAUIs (Assessment of Quality of Life - Eight Dimension Scale (AQoL-8D), EuroQoL-five dimension (EQ-5D-5L), Short Form 6D (SF-6D), Health Utilities Index Mark 3 (HUI3), 15D) with that of disease-specific depression outcome measures (Depression Anxiety Stress Scales (DASS-21) and the Kessler Psychological Distress Scale (K10)) and develop `crosswalk transformation algorithms between the measures. Method Individual data from 917 people with self-report depression collected as part of the International Multi-Instrument Comparison Survey. Results All the MAUIs discriminated between the levels of severity measured by the K10 and the DASS-21. The AQoL-8D had the highest correlation with the disease-specific measures and the best goodness-of-fit transformation properties. Conclusions The algorithms developed in this study can be used to determine cost-effectiveness of services or interventions where utility measures are not collected.