Depression is a large-scale mental health problem and a challenging area for machine learning researchers in detection of depression. Datasets such as Distress Analysis Interview Corpus - Wizard of Oz (DAIC-WOZ) have been created to aid research in this area. However, on top of the challenges inherent in accurately detecting depression, biases in datasets may result in skewed classification performance. In this paper we examine gender bias in the DAIC-WOZ dataset. We show that gender biases in DAIC-WOZ can lead to an overreporting of performance. By different concepts from Fair Machine Learning, such as data re-distribution, and using raw audio features, we can mitigate against the harmful effects of bias.