Critics who are concerned over the epistemological status of psychiatric diagnoses often describe them as being constructed. In contrast, those critics usually see symptoms as relatively epistemologically unproblematic. In this paper I show that symptoms are also constructed. To do this I draw upon the demarcation between data and phenomena. I relate this distinction to psychiatry by portraying behaviour of individuals as data and symptoms as phenomena. I then draw upon philosophers who consider phenomena to be constructed to argue that symptoms are also constructed. Rather than being ready made in the world I show how symptoms are constructs we apply to the world. I highlight this with a historical example and describe methodological constraints on symptom construction. I show the epistemic problems with psychiatric diagnoses are also applicable to symptoms. Following this, I suggest that critics of psychiatric diagnoses should extend their criticism to symptoms or, if they still believe symptoms are relatively epistemologically unproblematic, should rethink their concerns over psychiatric diagnoses.