Apps for depression can increase access to mental health care but concerns abound with disparities between academic development of apps and those available through app stores. Reviews highlighted ethical shortcomings of these self-management tools, with a need for greater insight into how ethical issues are experienced by users. We addressed these gaps by exploring user reviews of such apps to better understand user experiences and ethical issues. We conducted a thematic analysis of 2,217 user reviews sampled from 40 depression apps in Google Play and Apple App Store, totaling over 77,500 words. Users reported positive and negative experiences, with ethical implications evident in areas of benefits, adverse effects, access, usability and design, support, commercial models, autonomy, privacy, and transparency. We integrated our elements of ethically designed apps for depression and principles of nonmaleficence, beneficence, justice, autonomy, and virtue, and we conclude with implications for ethical design of apps for depression.