Given that depression is one of the most prevalent mental illnesses, developing effective and unobtrusive diagnosis tools is of great importance. Recent work that screens for depression with text messages leverage models relying on lexical category features. Given the colloquial nature of text messages, the performance of these models may be limited by formal lexicons. We thus propose a strategy to automatically construct alternative lexicons that contain more relevant and colloquial terms. Specifically, we generate 36 lexicons from fiction, forum, and news corpuses. These lexicons are then used to extract lexical category features from the text messages. We utilize machine learning models to compare the depression screening capabilities of these lexical category features. Out of our 36 constructed lexicons, 14 achieved statistically significantly higher average F1 scores over the pre-existing formal lexicon and basic bag-of-words approach. In comparison to the pre-existing lexicon, our best performing lexicon increased the average F1 scores by 10%. We thus confirm our hypothesis that less formal lexicons can improve the performance of classification models that screen for depression with text messages. By providing our automatically constructed lexicons, we aid future machine learning research that leverages less formal text.