Objectives The present study examines the role of dependency (interpersonal relatedness) and self‐criticism (self‐definition) in internalising and externalising problems. Methods Three hundred forty‐six suburban Portuguese high‐school students age 14–18 (mean = 16.14, standard deviation = 1.19) responded to the Depressive Experiences Questionnaire and the Youth Self‐Report. The impact of depression, measured by the Children's Depression Inventory, on the relationship of dependency and self‐criticism on internalising and externalising problem behaviours was examined. Results Both self‐criticism and dependency, controlled for level of depression, were associated with internalising behaviour problems in both girls and boys. Gender differences, however, were observed in externalising problems. Externalising problems in boys were also associated with self‐criticism. But externalising problems in girls were not associated with psychological variables and thus may be more a function of environmental rather than psychological factors. Conclusions Implications of these findings for intervention are discussed.