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Background: Identifying individuals with depressive symptomatology (DS) promptly and effectively is of paramount importance for providing timely treatment. Machine learning models have shown promise in this area; however, studies often fall short in demonstrating the practical benefits of using these models and fail to provide tangible real-world applications. Objective: This study aims to establish a novel methodology for identifying individuals likely to exhibit DS, identify the most influential features in a more explainable way via probabilistic measures, and propose tools that can be used in real-world applications. Methods: The study used 3 data sets: PROACTIVE, the Brazilian National Health Survey (Pesquisa Nacional de Saúde [PNS]) 2013, and PNS 2019, comprising sociodemographic and health-related features. A Bayesian network was used for feature selection. Selected features were then used to train machine learning models to predict DS, operationalized as a score of ≥10 on the 9-item Patient Health Questionnaire. The study also analyzed the impact of varying sensitivity rates on the reduction of screening interviews compared to a random approach. Results: The methodology allows the users to make an informed trade-off among sensitivity, specificity, and a reduction in the number of interviews. At the thresholds of 0.444, 0.412, and 0.472, determined by maximizing the Youden index, the models achieved sensitivities of 0.717, 0.741, and 0.718, and specificities of 0.644, 0.737, and 0.766 for PROACTIVE, PNS 2013, and PNS 2019, respectively. The area under the receiver operating characteristic curve was 0.736, 0.801, and 0.809 for these 3 data sets, respectively. For the PROACTIVE data set, the most influential features identified were postural balance, shortness of breath, and how old people feel they are. In the PNS 2013 data set, the features were the ability to do usual activities, chest pain, sleep problems, and chronic back problems. The PNS 2019 data set shared 3 of the most influential features with the PNS 2013 data set. However, the difference was the replacement of chronic back problems with verbal abuse. It is important to note that the features contained in the PNS data sets differ from those found in the PROACTIVE data set. An empirical analysis demonstrated that using the proposed model led to a potential reduction in screening interviews of up to 52% while maintaining a sensitivity of 0.80. Conclusions: This study developed a novel methodology for identifying individuals with DS, demonstrating the utility of using Bayesian networks to identify the most significant features. Moreover, this approach has the potential to substantially reduce the number of screening interviews while maintaining high sensitivity, thereby facilitating improved early identification and intervention strategies for individuals experiencing DS. [ABSTRACT FROM AUTHOR]