Administration mode of patient-reported outcome measures (PROMs) may influence responses. We assessed if Patient Health Questionnaire-9 (PHQ-9), Edinburgh Postnatal Depression Scale (EPDS) and Hospital Anxiety and Depression Scale - Depression subscale (HADS-D) item responses and scores were associated with administration mode. We compared (1) self-administration versus interview-administration; within self-administration (2) research or medical setting versus private; and (3) pen-and-paper versus electronic; and within interview-administration (4) in-person versus phone. We analysed individual participant data meta-analysis datasets with item-level data for the PHQ-9 (N = 34,529), EPDS (N = 16,813), and HADS-D (N = 16,768). We used multiple indicator multiple cause models to assess differential item functioning (DIF) by administration mode. We found statistically significant DIF for most items on all measures due to large samples, but influence on total scores was negligible. In 10 comparisons conducted across the PHQ-9, EPDS, and HADS-D, Pearson's correlations and intraclass correlation coefficients between latent depression symptom scores from models that did or did not account for DIF were between 0.995 and 1.000. Total PHQ-9, EPDS, and HADS-D scores did not differ materially across administration modes. Researcher and clinicians who evaluate depression symptoms with these questionnaires can select administration methods based on patient preferences, feasibility, or cost.