In the digital age, besides the well-known contributors to depression, more research is needed on certain activities of social media, such as online self-disclosure. Using an online survey, we examine the associations of depression with social media addiction, online self-disclosure, loneliness, and life satisfaction among a sample of Hungarian university students (N = 301, aged between 18 and 30 years). There were no sex differences in depression scores. Findings showed the following: a) lonely students; b) those less satisfied with their lives; c) those sharing negative information; and d) those that engage in deep self-disclosure are more likely to report depressive symptomatology. Although social media addiction was a correlate of depression in bivariate analyses, it became nonsignificant when online self-disclosure and other psychological variables were introduced to the model. A more careful accounting of these relationships is needed to more wisely use social media when disclosing information about ourselves.