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Background: Despite a high prevalence of depressive symptoms among university students, few studies have examined how this mental health problem is associated with perceived stress and perceived burdens related to being a student. Methods: We conducted a cross-sectional study of 2,103 first year students from one western (Germany), one central (Poland), and one south-eastern European country (Bulgaria). The self-administered questionnaires included the modified Beck Depression Inventory and Cohen's Perceived Stress Scale. A 13 item scale measured perceived burdens related to being a student with four subscales: ''Course work'', ''Relationships'', ''Isolation'', and ''Future''. Results: Depressive symptoms were highly prevalent in all three countries (M-BDI ≥35: 34% in Poland, 39% in Bulgaria, and 23% in Germany). Students felt more burdened by course work and bad job prospects (''Future'') than by relationship problems or by feelings of isolation. The perceived burdens subscales ''Future'', ''Relationship'' and ''Isolation'' remained associated with depressive symptoms after adjusting for perceived stress, which displayed a strong association with depressive symptoms. The association between perceived stress and depressive symptoms differed by gender. These findings were similar in all three countries. Conclusion: Perceived burdens related to studying are positively associated with higher depression scores among students, not only by mediation through perceived stress but also directly. While the strong association between perceived stress and depressive symptoms suggests the need for interventions that improve stress management, perceived burdens should also be addressed.