Background: Based on the vulnerability model, several studies indicate that low self-esteem seems to contribute to depressive symptoms. Aims: The aim of this study was to treat depressive symptoms in a cognitive behavioural group therapy, focusing on the enhancement of self-esteem, and to explore co-variation in depressive symptoms and the level of self-esteem. Method: The Multidimensional Self-esteem Scale (MSWS) and the Beck Depression Inventory (BDI) were administered to 147 psychiatric in-patients with current depressive symptoms due to an affective disorder (major depression, bipolar I, dysthymia). Self-esteem was measured pre-treatment (t0) and post-treatment (t4, after 5 weeks of eight group sessions); the BDI was applied weekly. A linear mixed growth analysis was conducted to estimate the change in depressive symptoms including interactions with self-esteem. Results: Within the 5 weeks of group therapy, depressive symptoms showed a linear decline, which was stronger for patients with higher gains in self-esteem between t0 and t4. Self-esteem at t0 was unrelated to the change in depression but predicted self-esteem at t4. Conclusions: Treating depressive symptoms in a cognitive behavioural group therapy in a naturalistic setting might have a positive effect on the process of recovery. Moreover, depressive symptoms and level of self-esteem seemed to co-vary.