Mobile mental health presents many ethical challenges in the wild. These ethical issues and associated values were explored through a content analysis and ethical review of the depression app marketplace. App search and data collection was performed in Google Play Store (UK) and Apple iTunes (UK) between October to November 2018. Iterative data extraction and coding of ethical variables and values were conducted prior to synthetization of issues and themes. Search found 353 unique apps for depression. Analysis uncovered a range of ethical issues including: limited evidence of intervention validity, fidelity, and outcomes; insufficient safeguarding and duty of care; non-multisector development teams; lack of independent certification and regulation; lack of information and transparency for informed user choices; and concerns with privacy, confidentiality, and user permissions. These findings highlighted the presence and absence of ethical values in apps for depression, with most apps failing to reflect many key values. Our findings suggest a need for greater ethical value sensitive design in mobile mental health. This is challenging given the field’s multidisciplinarity and value conflicts. We encourage designers to adopt a responsible innovation approach to creating technologies that meet these ethical demands.