Verbal thoughts (such as negative cognitions) and sensory phenomena (such as visual mental imagery) are usually conceptualised as distinct mental experiences. The present study examined to what extent depressive thoughts are accompanied by sensory experiences and how this is associated with symptom severity, insight of illness and quality of life. A large sample of mildly to moderately depressed patients (N = 356) was recruited from multiple sources and asked about sensory properties of their depressive thoughts in an online study. Diagnostic status and symptom severity were established over a telephone interview with trained raters. Sensory properties of negative thoughts were reported by 56.5% of the sample (i.e., sensation in at least one sensory modality). The highest prevalence was seen for bodily (39.6%) followed by auditory (30.6%) and visual (27.2%) sensations. Patients reporting sensory properties of thoughts showed more severe psychopathological symptoms than those who did not. The degree of perceptuality was marginally associated with quality of life. The findings support the notion that depressive thoughts are not only verbal but commonly accompanied by sensory experiences. The perceptuality of depressive thoughts and the resulting sense of authenticity may contribute to the emotional impact and pervasiveness of such thoughts, making them difficult to dismiss for their holder.