Using 11 years of the U.S. Centers for Disease Control and Prevention (CDC) Behavioral Risk Factor Surveillance System survey data set for 2011 to 2021, we track the evolution of depression risk for U.S. states and territories before and during the COVID-19 pandemic. We use these data in conjunction with unemployment and COVID case data by state and by year to describe changes in the prevalence of self-reported diagnosis with a depressive disorder over time and especially after the onset of COVID in 2020 and 2021. We further investigate heterogeneous associations of depression risk by demographic characteristics. Regression analyses of these associations adjust for state-specific and period-specific factors using state and year-fixed effects. First, we find that depression risk had been increasing in the US in years preceding the pandemic. Second, we find no significant average changes in depression risk at the onset of COVID in 2020 relative to previous trends, but estimate a 3% increase in average depression risk in 2021. Importantly, we find meaningful variation in terms of changes in depression risk during the pandemic across demographic subgroups.