In this paper, I explore what Lady Mary Shepherd means by 'mind,' soul,' and 'self,' arguing that, for Shepherd, these terms are interchangeable, although they have a broader and a narrower sense. For Shepherd, mind/soul/self (in the narrow sense) is an enduring capacity that causes conscious perceptions; we know its existence through reasoning (rather than direct introspection), using an argument analogous to Shepherd's argument for the existence of the external world. In the broader sense, mind/soul/self is the capacity to cause sensations, as well as the train of sensations actually produced by that capacity. I end by pointing out a problem Shepherd faces in individuating minds/souls/selves.