In personality psychology, depression is currently studied from different, largely unrelated, perspectives. This paper argues that our understanding of complex phenomena such as depression may benefit from a multilevel approach, ordering and connecting the findings obtained at different levels of inquiry. Not only can findings at a particular level be explained in terms of the lower levels, but this approach can also provide a framework for integration. Depression is examined at different levels, including genes, neurology, biochemistry, physiology, learning, social behaviour, and traits. Several interlevel connections are indicated. The findings are discussed in the context of self-regulation as a general framework.