This article aims to assess the levels of stress and symptoms of depression among Danish medical students, as well as explore the effect of social support on psychological distress. The results are based on numbers from the follow-up study 'From Student to Graduate' (j.nr 2006-41-6876). Materials and methods: Two dimensions of stress, frequency and perception, were measured on a scale from 0-6. Odds ratios and significance of associations between the various exposure variables and the outcome measure, symptoms of depression, were calculated using multiple logistic regression and Wald tests. Results: 30.5% of the students reported depressive symptoms. Stress frequency measured a mean of 2.26 (SD = 1.35). The mean for stress perception was 2.85 (SD = 1.30). Women reported higher levels of stress and depression compared to male medical students, but the differences were not significant (p > 0.05). Only the dimensions of stress and coping alone were significantly associated with reporting symptoms of depression (p <0.001). Students coping alone had a two times higher odds ratio for reporting depressive symptoms. Conclusions: Nearly one third of the participants reported feeling depressed. Stress levels were moderate, but significantly associated with symptoms of depression. The interaction between the stress dimensions and the outcome measure illustrates the importance of stress appraisal. Coping alone with psychological problems was significantly associated with symptoms of depression.