Stress and depression are prevalent nowadays across people of all ages due to the quick paces of life. People use social media to express their feelings. Thus, social media constitute a valuable form of information for the early detection of stress and depression. Although many research works have been introduced targeting the early recognition of stress and depression, there are still limitations. There have been proposed multi-task learning settings, which use depression and emotion (or figurative language) as the primary and auxiliary tasks respectively. However, although stress is inextricably linked with depression, researchers face these two tasks as two separate tasks. To address these limitations, we present the first study, which exploits two different datasets collected under different conditions, and introduce two multitask learning frameworks, which use depression and stress as the main and auxiliary tasks respectively. Specifically, we use a depression dataset and a stressful dataset including stressful posts from ten subreddits of five domains. In terms of the first approach, each post passes through a shared BERT layer, which is updated by both tasks. Next, two separate BERT encoder layers are exploited, which are updated by each task separately. Regarding the second approach, it consists of shared and task-specific layers weighted by attention fusion networks. We conduct a series of experiments and compare our approaches with existing research initiatives, single-task learning, and transfer learning. Experiments show multiple advantages of our approaches over state-of-the-art ones.

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