Research consistently demonstrates elevated rates of depression among college‐aged women, yet evidence of racial differences in depression among this population are poorly understood. Moreover, the correlates of depression among Asian American women are also understudied. In this exploratory analysis, we examined mean differences in depression levels in a sample of Asian American (n = 117) and European American (n = 257) students from a women's liberal arts college. We also estimated associations between depression and relational health in three types of relationships (mentor, friend, and college community) using ordinary least squares regression. Relational health was examined as a buffer (i.e., moderator) against depression. Results indicated no differences in depression levels between Asian American and European American women. Relationships with the college community were associated with lower levels of depression in both groups of women. Limited evidence suggested that relational health served as a buffer. Results are discussed in light of interventions for college campuses.