Many studies have focused on the role of self-esteem and behavioral inhibition/activation systems in social anxiety and depression. Also, they have shown that social anxiety can lead to depression. This study aimed to investigate the mediating role of social anxiety in the relationship between brain-behavioral systems and self-esteem with depression. Our sample (n = 399; 117 males, 282 females) consisted of Iranian undergraduate students in the academic year 2018–2019 who were selected by the stage sampling method and completed the Beck Depression Inventory-II (BDI-II), Social Phobia Inventory (SPIN), Behavioral Inhibition/Behavioral Activation System Scales, and Global Self-Esteem (GSE) subscale of Multidimensional Self-Esteem Inventory (MSEI). Our results indicate that there was a significant association between behavioral inhibition/activation systems and self-esteem with social anxiety and depression, and behavioral inhibition/activation systems and self-esteem with mediating social anxiety had a significant indirect effect on depression. According to the results, 20% of the variance of social anxiety is explained by behavioral inhibition/activation systems and self-esteem. In addition, behavioral inhibition/activation systems, self-esteem, and social anxiety also explain 47% of the variance of depression in students. The findings corroborate that an important role of behavioral inhibition/activation systems and self-esteem effects on depression with mediating social anxiety.