Self-regulation, trait depression, and social anxiety were investigated in a group of 174 (124 female, 50 male) undergraduate university students. Aspects of goal setting, self-monitoring, self-evaluation, and self-reinforcement were assessed as facets of self-regulation. These four facets accounted for 62% of the variance in depression. The pattern of relationships between serf-regulation and social anxiety was very similar to the pattern of relationships between serf-regulation and depression. Individuals who were high on social anxiety were low on the expectancy to achieve goals, low on self-evaluation, and low on positive self-reinforcement. Individuals who were high on depression were also low on the expectancy to achieve goals, low on self-evaluation, and low an positive self-reinforcement.