Purpose: In this study, the role of social anxiety, state, and trait anxiety in depression among college students was investigated. Research Methods: Research group consisted of 439 college students (341 females and 98 males) having consulted to a state university's counselling centre between 2018-2019. Counselling Centre Application Form, The Beck Depression Inventory, Liebowitz Social Phobia Scale, and State and Trait Anxiety Scale were used to collect data. Multiple linear regression analysis was carried out to determine the predictive power of social anxiety, state, and trait anxiety. Findings Regarding the findings of the present study, social anxiety, state, and trait anxiety positively and significantly predicted depression in college students consulting to counselling centre. The total variance rate of predictor variables related to depression was 58% (R2 = 0.585, F(3.473) = 203.862, p <0.001). Implications for Research and Practice: It is discussed whether the findings demonstrate consistency with the related literature and suggestions were made for researchers and counsellors working in higher education institutions, for academic and administrative staff working in higher education institutions, and for policymakers who may facilitate taking necessary steps to create a protective atmosphere at university campuses. For practitioners, it is advised that self-help brochures, psychoeducational studies, individual and group counselling, and awareness-raising activities on online platforms to help college students cope with anxiety may also reduce their anxiety levels, and thus decrease the number of people who are at a risk group for depression. Limitations of the research and suggestions for future studies were shared.