Well‐being is now defined in a number of multicomponent ways. One approach to defining well‐being—psychological well‐being (PWB; Ryff, )—encompasses six dimensions of positive functioning. This study's first aim was to compare PWB self‐report scores from a group of depressed participants (N = 26) with a non‐depressed group (N = 26). The second aim was to examine anticipated well‐being, specifically, how the positive events people anticipate in the future are seen as being related to various aspects of their well‐being. Participants completed the self‐report scales of PWB and a task which elicited events participants were looking forward to in the future and their thoughts about what was good about those events. Responses about the value of the events were independently coded for the presence of the six PWB dimensions. The depressed group scored significantly lower on all dimensions of self‐reported PWB than the control group, with particularly marked deficits on environmental mastery and self‐acceptance. For anticipated events, positive relations with others was the most commonly present aspect of PWB in participants' responses about what was good about the events. The frequency of PWB dimensions present in participants' responses was similar between the two groups with the exception of the depressed group having more self‐acceptance related responses and fewer positive relationship responses. The well‐established lack of positive anticipation found in depressed individuals is likely to mean a diminished resource for a wide range of aspects of well‐being but especially positive relationships with others. Copyright © 2014 John Wiley & Sons, Ltd. Key Practitioner Message The treatment of depression is thought to be more effective when it enhances psychological well‐being as well as reducing dysfunction. In the present study, all dimensions of psychological well‐being were lower in depressed participants with particularly marked deficits in environmental mastery and self‐acceptance, suggesting that these may be particularly important treatment targets. People with depression show specific deficits in being able to anticipate future positive events. The present study suggests that anticipated well‐being linked to positive relationships with other people may be particularly impacted by the lack of anticipated future events found in depression.