Background Many university students experience some symptoms of depression during the course of their studies but there is evidence that students from less advantaged backgrounds may be more vulnerable. Methods The study was a cross-sectional online survey of 923 undergraduate students attending 6 UK Universities in the academic year 2009–2010 who completed a modified version of the Zagazig Depression Scale (ZDS). Results Overall, 58.1 % of female and 59.9 % of male study participants screened positive for depression (ZDS score[10). In the fully adjusted model, final year students (OR = 1.8) who lived in a more deprived area (OR = 2.3) were more likely to report higher rates of depressive symptoms. Additionally, students with high perceived control (OR = 1.6) whose mothers were highly educated(OR = 0.5) and from a family of a high affluence (OR = 0.3) were less likely to suffer from higher rates of depressive symptoms. The relationship between lower social economic status and depression was partly mediated by low sense of control. Conclusion Students from less advantaged backgrounds are more at risk of depression but a strong sense of control over one’s life may be protective. Application Since depression has strong impact on students’ learning and quality of life universities should consider confidential screening for mental health problems and provide additional support for students.