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Introduction: Medical students, including dental students, are more likely to be burdened with depression, anxiety, burnout, and anorexic tendencies than their peers studying other subjects. In spite of major public health relevance, there is a large knowledge gap regarding mental health issues among Bosnian dental students. The aim of this research is to estimate the depression prevalence among dental students in Sarajevo according to age, gender, and academic year. Methods: A cross-sectional study was conducted among 1st, 3rd, 4th, and 6th year students at the Dental School, University of Sarajevo, during 2023-2024. Depression was evaluated using the self-reported patient health questionnaire-9 (PHQ-9). Statistical analysis included the Shapiro–Wilk test, with data presented as means with standard deviations (SDs), medians (Mdn) with interquartile ranges (IQRs), and frequencies. Comparisons between males and females were analyzed using the Student’s t-test or Mann–Whitney U-test and one-way analysis of variance or Kruskal–Wallis test across academic years. Results: In the total sample (n = 324), females outnumbered males, 244 versus 80. Clinically significant depression (PHQ-9 ≥10) was reported in 52.79% of students. The average PHQ-9 value was Mdn = 10.00, IQR (6.00, 16.00), M = 11.1, SD = 6.66. The highest average PHQ-9 values were observed in the 4th year and the lowest in the 6th year. Female students had significantly higher average PHQ-9 scores (p < 0.05). Conclusion: Dental students in Sarajevo exhibited high depression prevalence, but female students were more affected. These findings emphasize an urgent need for targeted mental health interventions in dental education.