This research was conducted with the purpose to examine the relationship among self-esteem, collective self-esteem and depression. Another objective was to study the contribution of self-esteem and collective self-esteem in predicting depression. Beck Depression Inventory (1996), Rosenberg Self-Esteem Inventory (1985) and Collective Self-Esteem Inventory by Luhtanen and Crocker (1992) were used to measure depression, self-esteem and collective self-esteem respectively. Study was carried out on 200 subjects in the age range of 17-23 years, selected from Agra city. The results of the research showed that there was significant positive relationship between self-esteem and collective self-esteem (p < .01), significant negative relationship between self-esteem and depression (p < .01). It was also found that collective self-esteem was a significant predictor of depression. This research implies that an optimum level of self-esteem and high collective self-esteem not only prevents depression but also enhances the positive aspects of personality.