© 2022 Wiley Periodicals LLC.Purpose: This study aimed to evaluate the effect of self-efficacy and automatic thoughts on depression as mediated by anxiety in nursing students. Methods: This was a descriptive study to identify direct and indirect variables that affect depression levels of nursing students and to examine the relationship between independent variables. A total of 477 students from the Nursing Department participated in the study. Findings: As a result of the data analysis, the direct effect of self-efficacy and automatic thoughts on depression was found to be significant. The effect of automatic thoughts on depression as mediated by anxiety was significant. Practical Implications: It is thought that understanding the relationship between these variables will be useful in designing appropriate interventions for university students with depression, especially for nursing students.