Background: Coronavirus disease 2019 (COVID-19) and the associated social distancing and lockdown restrictions are expected to have substantial and enduring mental health effects. In this study, we aimed to assess depression levels before and during the COVID-19 pandemic in the United States. Methods: We used the Patient Health Questionnaire-2 (PHQ-2) brief screening instrument to detect probable depression in two nationally representative surveys of US adults. Pre-pandemic levels of depression were assessed in a sample of 5,075 adults from the 2017–2018 National Health and Nutrition Examination Survey (NHANES). Depression was assessed in March (N = 6,819) and April 2020 (N = 5,428) in the Understanding America Study, a representative sample of the US population. Results: The percentage of US adults with depression increased significantly from 8.7% (95% CI[7.6%–9.8%]) in 2017–2018 to 10.6% (95% CI[9.6%–11.6%) in March 2020 and 14.4% (95% CI[13.1%–15.7%]) in April 2020. Statistically significant increases in depression levels were observed for all population subgroups examined with the exception of those aged 65+ years and Black participants. Young adults (aged 18–34) experienced a marked increase in depression of 13.4 percentage points (95% CI [9.5%–17.2%]) that was larger than any other age group. Additional analyses of depression trends in NHANES from 2007/2008–2017/2018 showed that the substantial increase in depression in April 2020 was unlikely to be due to typical year-to-year variation. Conclusions: Our findings suggest that depression levels have risen substantially during the COVID-19 pandemic and reinforce recent findings indicating that young adults may be particularly vulnerable to the mental health effects of the pandemic.