The relation between Self-Concept and Depression has been widely studied (Higgins 1999). Depression has been associated to low Self-Concept, a negative feeling linked to Self (Kernis & Whistenhunt, 1998). This study is conducted to analyse the relation between Self-Concept and Depression in adults attending Education and Training Courses. The sample includes 60 trainees and the following tools have been used: Vaz Serra's Inventário Clínico de Auto-Conceito (1985) and the Beck Depression Inventory (1961). The results show that there is a significant difference in Self-Concept development between genders. Furthermore, Self-Concept values tend to increase with age. There are also significant differences in how Depression is structured in men and women. Adults with lower Self-Concept values show higher Depression levels, and age significantly influences Depression development. Currently, some models for adult education and training courses are strongly criticized. However, attending such courses together with a specialized follow-up may allow trainees to develop a higher Self-Concept, which will improve and promote their mental health.