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The risk of depression could be evaluated through its multifactorial nature using the polygenic score (PGS) approach. Assuming a “clinical continuum” hypothesis of mental diseases, a preliminary assessment of individuals with elevated risk for developing depression in a non-clinical group is of high relevance. In turn, epidemiological studies suggest including social/lifestyle factors together with PGS to address the “missing heritability” problem. We designed regression models, which included PGS using 27 SNPs and social/lifestyle factors to explain individual differences in depression levels in high-education students from the Volga–Ural region (VUR) of Eurasia. Since issues related to population stratification in PGS scores may lead to imprecise variant effect estimates, we aimed to examine a sensitivity of PGS calculated on summary statistics of depression and neuroticism GWAS from Western Europeans to assess individual proneness to depression levels in the examined sample of Eastern Europeans. A depression score was assessed using the revised version of the Beck Depression Inventory (BDI) in 1065 young adults (age 18–25 years, 79% women, Eastern European ancestry). The models based on weighted PGS demonstrated higher sensitivity to evaluate depression level in the full dataset, explaining up to 2.4% of the variance (p = 3.42 × 10−7); the addition of social parameters enhanced the strength of the model (adjusted r2 = 15%, p < 2.2 × 10−16). A higher effect was observed in models based on weighted PGS in the women group, explaining up to 3.9% (p = 6.03 × 10−9) of variance in depression level assuming a combined SNPs effect and 17% (p < 2.2 × 10−16)—with the addition of social factors in the model. We failed to estimate BDI-measured depression based on summary statistics from Western Europeans GWAS of clinical depression. Although regression models based on PGS from neuroticism (depression-related trait) GWAS in Europeans were associated with a depression level in our sample (adjusted r2 = 0.43%, p = 0.019—for unweighted model), the effect was mainly attributed to the inclusion of social/lifestyle factors as predictors in these models (adjusted r2 = 15%, p < 2.2 × 10−16—for unweighted model). In conclusion, constructed PGS models contribute to a proportion of interindividual variability in BDI-measured depression in high-education students, especially women, from the VUR of Eurasia. External factors, including the specificity of rearing in childhood, used as predictors, improve the predictive ability of these models. Implementation of ethnicity-specific effect estimates in such modeling is important for individual risk assessment.