Despite a growing mental health crisis in the United States, empirical indicators of what could make a depression help-seeking message effective and why are currently not available. Even worse, some depression help-seeking messages can activate negative beliefs among depressed individuals that may make help-seeking even less likely than before. The current study is based on the premise that normative theoretical frameworks used for health promotion purposes might not work in populations affected by depression. Addressing a primary driver for health behavior change in gain-and-loss framing, the present research examines the nature of risk perceptions regarding help-seeking among those with depressive symptomatology who have not yet sought help (N = 738) to inform more effective suicide prevention efforts. Previously, quantitative analyses revealed that the effectiveness of gain-and-loss framing, particularly on attitudes toward help-seeking, depends on the severity of depressive symptomatology. Whereas a persuasive gain-frame advantage was found for those with mild and severe depression symptoms, both framing strategies appeared to backfire and worsen attitudes among those with moderately severe depression symptoms. The present study enriches those results by conducting an in-depth analysis of risk perceptions regarding help-seeking to inform more effective depression help-seeking messages. Risk perceptions were primarily indicative of stigma and the related resistance to seeking help. Judgment and mistreatment were expected not only from the general public but also from the mental health professionals from whom help should be sought. Theoretical and practical implications are discussed.