People tend to consider social platforms as convenient media for expressing their concerns and emotional struggles. With their widespread use, researchers could access and analyze user-generated content related to mental states. Computational models that exploit that data show promising results in detecting at-risk users based on engineered features or deep learning models. However, recent works revealed that these approaches have a limited capacity for generalization and interpretation when considering clinical settings. Grounding the models' decisions on clinical and recognized symptoms can help to overcome these limitations. In this paper, we introduce BDI-Sen, a symptom-annotated sentence dataset for depressive disorder. BDI-Sen covers all the symptoms present in the Beck Depression Inventory-II (BDI-II), a reliable questionnaire used for detecting and measuring depression. The annotations in the collection reflect whether a statement about the specific symptom is informative (i.e., exposes traces about the individual's state regarding that symptom). We thoroughly analyze this resource and explore linguistic style, emotional attribution, and other psycholinguistic markers. Additionally, we conduct a series of experiments investigating the utility of BDI-Sen for various tasks, including the detection and severity classification of symptoms. We also examine their generalization when considering symptoms from other mental diseases. BDI-Sen may aid the development of future models that consider trustworthy and valuable depression markers.