The aim of this study was to examine the predictive role of anxiety sensitivity and social anxiety on depression. The sample consisted of 745 (364 females; 381 males) university students. Anxiety sensitivity, social anxiety, and depression levels of university students were measured by the Anxiety Sensitivity Index–Revised, Social Anxiety Scale, and Beck Depression Inventory respectively. To analyze data, multiple regression analysis was employed. Significant effects of anxiety sensitivity (fear of respiratory symptoms, fear of publicly observable anxiety reactions, fear of cardiovascular symptoms, and fear of cognitive dyscontrol), and social anxiety (social desertion, anxiety for being criticized, sense of worthlessness) on depression was detected.