The COVID-19 pandemic and the ensuing lockdown have been a seismic shock for youth in India, elevating their risk of mental health problems like depression. This cross-sectional study sought to measure the point prevalence levels of depression in university students (ages 19–25 years) from Maharashtra, India, during the peak of the first wave of the pandemic and lockdown, through an online opt-in survey. The BDI-II was self-administered by 783 respondents (males = 243; females = 540). Results indicated overall mild levels of depression (mean BDI = 16.48) and high point prevalence, with 51.8% ( n = 406) of the population being symptomatic, of which 16.3% had severe, 17.9% had moderate, and 17.8% had mild levels of depression. No association was found with age, gender, educational level of participants, period of hostel stay, education, and occupational level of parents. Overall percentages of symptomatic women were higher, suggesting the gendered effects of the pandemic. This study explored the symptomatology of depression wherein “sadness,” “changes in sleep patterns,” and “concentration difficulties” emerged as the most commonly experienced symptoms. Symptom expression was found to vary with intensity and gender. Symptomatic men experienced significantly more cognitive symptoms like self-criticalness, punishment feelings, thoughts about past failures, and changes in sleep patterns, while symptomatic women felt significantly high “loss of energy.” No significant gender differences were seen in the experience of cognitive-affective symptoms. Possible reasons are discussed. Further exploration of the experiences of youth is essential to understand the full gamut of the pandemic’s impact on them.