Mental disorders such as depression and anxiety have been increasing at alarming rates in the worldwide population. Notably, the major depressive disorder has become a common problem among higher education students, aggravated, and maybe even occasioned, by the academic pressures they must face. While the reasons for this alarming situation remain unclear (although widely investigated), the student already facing this problem must receive treatment. To that, it is first necessary to screen the symptoms. The traditional way for that is relying on clinical consultations or answering questionnaires. However, nowadays, the data shared at social media is a ubiquitous source that can be used to detect the depression symptoms even when the student is not able to afford or search for professional care. Previous works have already relied on social media data to detect depression on the general population, usually focusing on either posted images or texts or relying on metadata. In this work, we focus on detecting the severity of the depression symptoms in higher education students, by comparing deep learning to feature engineering models induced from both the pictures and their captions posted on Instagram. The experimental results show that students presenting a BDI score higher or equal than 20 can be detected with 0.92 of recall and 0.69 of precision in the best case, reached by a fusion model. Our findings show the potential of large-scale depression screening, which could shed light upon students at-risk.