There is considerable debate as to whether depression and burnout are distinct syndromes, and, if they are, how they should be diagnosed. In athletes, the situation is even more complex as overtraining syndrome also needs to be considered. All three constructs do indeed share some symptoms (e.g., fatigue) and aetiology (e.g., chronic stress). Importantly, there are also considerable differences. This chapter therefore aims to provide an overview on the current state of research on these matters and provide an integrative model on the three constructs. We then use this information to provide practical recommendations for identifying, differentiating, and managing cases when symptoms related to depression, burnout, and overtraining are presented.