This study reports the comparison and associations of demographic, clinical, and psychosocial correlates with three unipolar depressive disorders: dysthymia (DYS), major depression (MD), and double depression (DD), and examines to which extent these variables predict the disorders. Similarities outweighed the discrepancies between disorders. The main differences observed were between MD and DD, while DYS shared common characteristics with both MD and DD. After other variables were controlled, anxiety, functional impairment, and problem recognition most strongly predicted a DD diagnosis while age predicted a DYS diagnosis. MD, DYS, and DD are not completely different disorders but they do differ in key aspects that might be relevant for nosology, research, and practice. A dimensional system that incorporates specific categories of disorders would better reflect the different manifestations of unipolar depressive disorders.