Objective: Many peri‐myocardial infarction patients experience decreased wellbeing, which is either conceptualized as depression or as vital exhaustion. The objective of the present study is to investigate whether or not depression and vital exhaustion are separate entities. It was hypothesized that, if depression and vital exhaustion are separate phenomena, the correlation between two depression questionnaires would be higher than those between either of the two depression questionnaires and a vital exhaustion questionnaire. Method: Subjects were 143 patients who had recently experienced a first acute myocardial infarction (MI). At 1, 3, 6 and 12 months post‐MI, patients completed two self‐report depression questionnaires (the Zung‐SDS and the Depression scale of the SCL‐90), and a vital exhaustion questionnaire (the Maastricht Questionnaire). Correlation coefficients were calculated for the two depression questionnaires and the vital exhaustion questionnaire. Furthermore, an exploratory principal component analysis was performed on the combined items of the three questionnaires. Results: Strong and virtually identical correlations were found between the three measures at all four time‐points. A one‐factor model was the best fit in the exploratory principal component analysis. Conclusion: The present results do not support the hypothesized separate conceptual identity of depression and vital exhaustion.