Background: Caregiving in depression imposes a complex health and economic burden. Moreover, there is a paucity of studies examining the impact of caregiving for adult relatives with unipolar depression (CG-UD). This study assessed the burden among CG-UD in five western European (EUR5) countries (France, Germany, Italy, Spain and the United Kingdom) compared with caregivers of adults with other chronic comorbidities (CG-OD) and general non-caregiving (non-CG) population. Methods: A retrospective observational study was conducted using the 2016 National Health and Wellness Survey (NHWS) in EUR5. Differences in humanistic burden (health status and health-related quality of life [HRQoL]) and economic burden (work productivity and activity impairments, health care resource utilization [HRU]) were assessed between CG-UD and CG-OD respondents. Caregiver-specific burden (caregiving responsibilities and caregiver reaction assessment [CRA]) was assessed between caregiver groups. Generalized linear models were used to compare between the groups on the outcomes after adjusting for potential confounders. Results: Of the 77,418 survey respondents examined, 1380 identified as CG-UD, 6470 as CG-OD and 69,334 as non-CG. Compared to CG-OD and non-CG, CG-UD, reported significantly lower health status (e.g., EuroQoL-5 Dimensions-5 Levels [EQ-5D-5L]: CG-UD = 0.63, CG-OD = 0.67, and non-CG = 0.73, p < 0.001) and HRQoL (e.g., mental component score: CG-UD = 35.0, CG-OD = 37.8, and non-CG = 40.7, p < 0.001). Although effect sizes were small (d < 0.2), minimal clinically important differences (MCID) were apparent for HRQoL and health status. Increased economic-related burden was observed for work and activity impairment (e.g., absenteeism: CG-UD = 32.6%, CG-OD = 26.5%, and non-CG = 14.8%, p < 0.001) and HRU (e.g., healthcare provider [HCP; mean, past 6 months]: CG-UD = 10.5, CG-OD = 8.6, and non-CG = 6.8, p < 0.001). Caregiving-specific burden was associated with experiencing a greater lack of family support (CG-UD: 2.9 vs CG-OD: 2.8, p < 0.01), impact on finances (CG-UD: 3.0 vs CG-OD: 2.9, p = 0.036), and on the caregiver’s schedule (CG-UD: 3.1 vs CG-OD: 3.0, p = 0.048). Conclusion: Caregivers of persons with chronic disease experience an excess humanistic and economic burden compared to the general population, with a greater burden confronting caregiver for adults with depression. These findings illustrate the far-reaching burden of depression on both the patient and the relatives who care for them.