OBJECTIVE. Central health organizations suggest routine screening for depression in high-risk categories of primary care patients. This study compares the effectiveness of high-risk screening versus case-finding in identifying depression in primary care. DESIGN. Using an observational design, participating GPs included patients from 13 predefined risk groups and/or suspected of being depressed. Patients were assessed by the Major Depression Inventory (MDI) and ICD-10 criteria. Setting. Thirty-seven primary care practices in Mainland Denmark. Main outcome measures. Prevalence of depression, diagnostic agreement, effectiveness of screening methods, risk groups requiring special attention. RESULTS. A total of 37 (8.4%) of 440 invited GP practices participated. We found high-risk prevalence of depression in 672 patients for the following traits: (1) previous history of depression, (2) familial predisposition to depression, (3) chronic pain, (4) other mental disorders, and (5) refugee or immigrant. In the total sample, GPs demonstrated a depression diagnostic sensitivity of 87% and a specificity of 67% using a case-finding strategy. GP diagnoses of depression agreed well with the MDI (AUC values of 0.91-0.99). The potential added value of high-risk screening was 4.6% (31/672). Patients with other mental disorders were at increased risk of having an unrecognized depression (PR 3.15, 95% CI 1.91-5.20). If patients with other mental disorders were routinely tested, then 42% more depressed patients (14/31) would be recognized. CONCLUSIONS. A broad case-finding approach including a short validation test can help GPs identify depressed patients, particularly by including patients with other mental disorders in this strategy. This exploratory study cannot support the screening strategy proposed by central health organizations.