Self-compassion, involving self-kindness, common humanity, and mindfulness, appears well-suited to soothing feelings of threat following negative events and thereby reducing depressive sequellae. Study 1 found a strong negative association between self-compassion and depressive symptoms in 335 university students and evaluated four markers of threat that potentially mediate this relation. A test of multiple mediation revealed shame as a significant mediator, along with rumination and self-esteem. In Study 2, shame-prone students recalled an experience of shame and then were randomly assigned to (1) write about it self-compassionately, (2) express their feelings about it in writing, or (3) do neither. Participants completed their assigned task three times in one week. Immediately after writing, participants in the self-compassion condition reported less state shame and negative affect than those in the expressive writing condition. At two-week follow-up, participants in the self-compassion condition alone showed reductions in shame-proneness (d=.53), and depressive symptoms (d=.49). It appears that self-compassion promotes soothing, "hypo-egoic" (Leary, 2012) responses to negative outcomes that reduce threat system activation and depressive symptoms.