Introduction: Valid and reliable methods for diagnosing depression are essential. The present study aimed to test the performance of a new diagnostic interview for depression focusing on the core symptoms of depression. Method: We developed a diagnostic interview for depression: the CORE Diagnostic Interview, CORE-DI, which assesses each of the core features of depression on the four dimensions: quality, reactivity, globality, and fluctuations over time. The diagnostic performance of this interview was tested in a clinical study including 83 individuals presenting with various depressive symptoms, who were interviewed independently (1) by means of the CORE-DI and the Mini-International Neuropsychiatric Interview (M.I.N.I.), and (2) by highly skilled specialists in depression representing gold standard diagnoses. Results: We compared the outcome of the CORE-DI, the M.I.N.I., and the diagnosis made by clinicians, respectively, versus the gold standard diagnosis, using diagnostic efficiency statistics. The CORE-DI diagnosed depression with a high specificity (0.91, 95% CI: 0.85–0.97, for International Classification of Diseases [ICD]-10 criteria and 0.88, 95% CI: 0.81–0.95, for Diagnostic and Statistical Manual of Mental Disorders [DSM-5] criteria) compared to both M.I.N.I (specificity 0.44, 95% CI: 0.33–0.55) and clinical diagnoses (specificity 0.76, 95% CI: 0.67–0.85). The sensitivity of the CORE-DI was 0.61 (95% CI: 0.55–0.72) for ICD-10 criteria and 0.67 (95% CI: 0.57–0.77) for DSM-5 criteria. Discussion/Conclusion: The CORE-DI increased the specificity of the depression diagnosis substantially compared to clinical diagnoses and the diagnoses obtained by M.I.N.I. The results point to the usefulness of an elaborated and systematic assessment of the core symptoms in the examination of patients with depressive symptoms and thereby indicate a way for further development of specific diagnostic tools for depression in both clinical and research settings. However, it should be noted that the sensitivity of the CORE-DI was modest, and the psychometric properties of the CORE-DI might be different in other settings with higher or lower prevalence or severity of depressive symptoms.