Computational methods for depression detection aim to mine traces of depression from online publications posted by Internet users. However, solutions trained on existing collections exhibit limited generalisation and interpretability. To tackle these issues, recent studies have shown that identifying depressive symptoms can lead to more robust models. The eRisk initiative fosters research on this area and has recently proposed a new ranking task focused on developing search methods to find sentences related to depressive symptoms. This search challenge relies on the symptoms specified by the Beck Depression Inventory-II (BDI-II), a questionnaire widely used in clinical practice. Based on the participant systems' results, we present the DepreSym dataset, consisting of 21580 sentences annotated according to their relevance to the 21 BDI-II symptoms. The labelled sentences come from a pool of diverse ranking methods, and the final dataset serves as a valuable resource for advancing the development of models that incorporate depressive markers such as clinical symptoms. Due to the complex nature of this relevance annotation, we designed a robust assessment methodology carried out by three expert assessors (including an expert psychologist). Additionally, we explore here the feasibility of employing recent Large Language Models (ChatGPT and GPT4) as potential assessors in this complex task. We undertake a comprehensive examination of their performance, determine their main limitations and analyze their role as a complement or replacement for human annotators.