Context: Sports injuries in athletes can lead to negative emotional responses in terms of anger, anxiety, confusion, and sadness. Severe injuries can be understood as a stressful life event with increased levels of psychological distress, but injury assessment and rehabilitation typically focus on somatic symptoms. Objective: The primary aim of this study was to estimate the prevalence of depression and emotional stress and to measure self-rated health in regular exercisers presenting to a sports medicine clinic with musculoskeletal injury. The secondary aimwas to identify psychosocial factors associatedwith depression in injured exercisers and the potential need for psychological counseling. Design: A cross-sectional survey study. Setting: A sports medicine clinic for injuries of the foot, knee, or shoulder. Participants: Regular exercisers with present injuries (N = 694) and exercisers without injuries (N = 494). Regular exercisers were defined as those undertaking moderate exercise at least once a week. Intervention: A questionnaire survey completed on paper by patients in a sports medicine clinic and a web-based version completed by online sports communities. Main Outcome Measures: Participants completed the Major Depression Inventory, Perceived Stress Scale, health-related quality of life, and questions on sociodemographics, exercise habits, and injury history. Results: Symptoms of depression were reported by 12% of injured exercisers and 5% of noninjured controls (P < .001). Clinical stress was found in 30% of injured exercisers and 22%of controls (P = .002), and the EQ-5D-5L Visual Analog Scale score was lower for injured (69 [SD = 19]) than noninjured exercisers (87 [SD = 13], P < .001). Injured exerciserswith symptoms of depression reported high stress levels and impaired daily functioning, were younger, and were more likely to have over 10 days injury-related work absence. Conclusions: The authors recommend psychological assessment of exercisers attending a sports medicine clinic for musculoskeletal injury and a supplemental clinical psychological interview for suspected depression or stress-related psychopathology.