Reduced self‐esteem is a core symptom of depression, but few studies have investigated within‐treatment change of self‐esteem as a predictor of long‐term outcome in depression. This study investigated change in self‐esteem during 8 weeks of multimodal, psychodynamically oriented psychotherapy for 40 depressed patients and tested whether it would predict outcome 6 months after termination. Data was drawn from a randomized clinical pilot trial on day‐clinic versus inpatient psychotherapy for depression. Findings supported the association between change in self‐esteem and follow‐up depression severity, even when controlling for within‐treatment symptom change. Change in self‐esteem was not related to overall symptoms and interpersonal problems at follow‐up. Thus, change in self‐esteem may be an important variable in preventing relapse for depression. Key Practitioner Message Self‐esteem is related to depressive symptoms and interpersonal problems. Improvement of self‐esteem during psychotherapy correlates with improvements of symptoms and interpersonal problems. Change of self‐esteem during psychotherapy predicts depressive symptoms 6 months after termination of therapy. When treating depressed patients, psychotherapists should work towards an improvement of self‐esteem in order to prevent relapse.