Social relationships play a key role in depression. This is apparent in its etiology, symptomatology, and effective treatment. However, there has been little consensus about the best way to conceptualize the link between depression and social relationships. Furthermore, the extensive social-psychological literature on the nature of social relationships, and in particular, research on social identity, has not been integrated with depression research. This review presents evidence that social connectedness is key to understanding the development and resolution of clinical depression. The social identity approach is then used as a basis for conceptualizing the role of social relationships in depression, operationalized in terms of six central hypotheses. Research relevant to these hypotheses is then reviewed. Finally, we present an agenda for future research to advance theoretical and empirical understanding of the link between social identity and depression, and to translate the insights of this approach into clinical practice.