Self-related constructs feature prominently in cognitive models of both social anxiety and depression. However, few studies have simultaneously investigated the unique relationship between self-related constructs and social anxiety and depression, while also controlling for the association between the two variables. In the present study, 522 undergraduate students completed measures of maladaptive self-beliefs, self-esteem, self-criticism, self-focused attention, self-concept clarity, social comparison, and social anxiety and depression. Bivariate correlations demonstrated that self-related constructs not only significantly correlated with social anxiety but also with depression and other self-variables. When entered simultaneously, multiple regression analyses indicated that maladaptive self-beliefs were uniquely and positively associated with social anxiety and depression, while self-esteem and self-concept clarity were uniquely and negatively associated with social anxiety and depression. A unique positive association between private self-consciousness and depression was also found. Maladaptive self-beliefs and self-esteem were the constructs most strongly associated with social anxiety and depression respectively. These findings underscore the importance of a negative self-concept even in subclinical presentations and suggest that several key self-related constructs may represent transdiagnostic vulnerability factors linking social anxiety and depression. Future research should continue to uncover unique relationships between self-related variables and social anxiety and depression in both clinical and non-clinical samples.