Risk factors associated with depression in athletes include biological sex, physical pain, and history of sport-related concussion (SRC). Due to the well-documented benefits of sport and physical activity on mental health, athletes and non-athletes were recruited to assess any differences. Beyond this, athletes were also grouped by sport-type (contact/non-contact sports) due to the increased prevalence of pain and SRC in contact sports. To our knowledge, there has been no research on how these factors influence the likelihood of depression. In the current study, 144 participants completed a short survey on the above factors and the Center for Epidemiological Studies Depression Scale. Sixty-two of these reported a history of concussion. Logistic regression revealed all the above predictors to be significantly associated with the depression scale. Individuals that had previously sustained SRC, were experiencing greater physical pain and females were more likely to display poor mental health. However, we provide further evidence for the benefits of engaging in sport and physical activity as those that took part in sport were less likely to report depression. Therefore, this study provides a simple risk metric whereby sportspeople can make a better informed choice of their sporting participation, making their own cost/reward judgement.