The prevalence of depressive symptoms in patients with systemic lupus erythematosus (SLE) varies widely between different cohorts (17-75%), primarily due to factors such as the heterogeneity of the samples and the instruments used to detect depressive symptoms. Most of these instruments are self-administered questionnaires that have different characteristics and approaches to depressive symptoms. This study aimed to evaluate gender differences in the performance of three questionnaires used to assess depressive symptoms in patients with SLE: the Beck Depression Inventory (BDI), Center for Epidemiologic Studies Depression Scale (CES-D), and Hospital Anxiety and Depression Scale (HADS). This study included 54 male and 54 female SLE patients. Depressive symptoms were assessed using BDI (cutoffs 13 and 15), CES-D and HADS. The gold standard method used was the diagnostic criteria of the fifth edition of the Diagnostic and Statistical Manual of Mental Disorders. Regarding the performance of the BDI questionnaire, no significant differences in sensitivity or specificity were found between the genders. The specificity of the CES-D questionnaire was significantly greater for the male group (83% vs. 62.5%, p = 0.0309), and its sensitivity was non-significantly higher for the female group (92.9% for women and 71.4% for men; p = 0.2474). Regarding the performance of the HADS, we found similar sensitivities between the genders (71.4%) but a higher specificity among the men (95.7% in men and 82.5% in women, p = 0.0741). In conclusion, our results suggest the presence of gender differences in the performance of the questionnaires in SLE patients. The BDI had the most similar performances between the male and female groups. In contrast, the CES-D and HADS-D showed considerable variation in performances between men and women with SLE.