This study investigated the hypothesis that self-complexity affects depression by mediating the person’s sense of identity. University students (n ＝168) participated in this study and completed a questionnaire. The results of mediation analyses indicated that a sense of identity partially mediated the relationship between self-complexity and depression. A sense of identity comprises the following four factors: (1) identity of self-sameness and its continuity, (2) self-identity, (3) interpersonal identity, and (4) psychosocial identity. Covariance structural analysis was used to investigate the mediation effect of the sense of identity on self-complexity and depression in more detail. The results of the analysis revealed that self-complexity is negatively related to self-sameness and its continuity as well as interpersonal identity. Further, self-sameness and its continuity and self-identity are negatively related to depression. There was no relation between self-complexity and psychosocial identity. It is considered that a person with self-complexity directly confuses it with the sense of core identity (self-sameness and its continuity and interpersonal identity) and indirectly confuses it with the sense of self-identity; as a result, it causes depression.