Background Western societies often overemphasize the pursuit of happiness, and regard negative feelings such as sadness or anxiety as maladaptive and unwanted. Despite this emphasis on happiness, the amount of people suffering from depressive complaints is remarkably high. To explain this apparent paradox, we examined whether experiencing social pressure not to feel sad or anxious could in fact contribute to depressive symptoms. Methods A sample of individuals (n = 112) with elevated depression scores (Patient Health Questionnaire [PHQ‐9] ≥ 10) took part in an online daily diary study in which they rated their depressive symptoms and perceived social pressure not to feel depressed or anxious for 30 consecutive days. Using multilevel VAR models, we investigated the temporal relation between this perceived social pressure and depressive symptoms to determine directionality. Results Primary analyses consistently indicated that experiencing social pressure predicts increases in both overall severity scores and most individual symptoms of depression, but not vice versa. A set of secondary analyses, in which we adopted a network perspective on depression, confirmed these findings. Using this approach, centrality analysis revealed that perceived social pressure not to feel negative plays an instigating role in depression, reflected by the high out‐ and low instrength centrality of this pressure in the various depression networks. Conclusions Together, these findings indicate how perceived societal norms may contribute to depression, hinting at a possible malignant consequence of society's denouncement of negative emotions. Clinical implications are discussed.