The purpose of this study was to test the relationships between self-esteem and depression, self-esteem and loneliness, and loneliness and depression. A sample of 136 university students in the city of Riyadh was utilized to examine these relationships. The study also aimed at examining the role of self-esteem as a moderator variable, which may moderate the relationship between the loneliness and depression. The researcher has used Self-esteem Inventroy (El Driney), Russel's (1982) Loneliness Scale, and Beck's Depression Inventory. The study showed that there was a negative significant correlation between self-esteem and both loneliness and depression. It was revealed that the role of self-esteem in decreasing the loneliness and depression was weak, and the relationship between them remained significant, which pointed to the fact that the relationship between loneliness and depression was strong and cannot be affected by self-esteem. (Arabic abstract)