Previous research indicates that the prevalence of depression among veterinarians and veterinary students is high. Although self-stigma in seeking psychological help is reportedly elevated in veterinary students, its impact on mental health has been largely unexplored. The aim of this study was to compare the levels of study-related stress, depression symptoms and self-stigma in veterinary students with those of non-veterinary students, and examine whether stress and self-stigma positively predicted depression symptoms in veterinary students. A total of 287 veterinary students and 317 non-veterinary students from Australian universities completed an online questionnaire measuring study-related stress, self-stigma and depression symptoms. Results showed that veterinary students reported significantly higher levels of stress and self-stigma than non-veterinary students, but there was no significant difference between veterinary and non-veterinary students in depression symptoms. Multiple regression analysis indicated that stress and self-stigma both predicted depression symptoms in veterinary students. These findings suggest that reducing stress and help-seeking self-stigma in veterinary students may be important in improving their well being levels. These findings are important in developing a whole-of-career life course approach to understanding the professional and psychological experiences of veterinarians.