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This is a quantitative study of depression, self-esteem, smoking and drinking behaviors among first year college students. The study results from a sample of 170 first year undergraduate students at the University of New Hampshire. Using the Center for Epidemiologic Studies Depression Scale, Rosenberg’s Self-Esteem Scale, and the Short Alcohol Dependence Data (SADD) scale, results show that sex significantly predicts depression, even when controlling for self-esteem, alcohol scale scores, and smoking. Being female is associated with higher depression scores. When measuring self-esteem, results show that self-esteem is significantly associated with depression. Lower self-esteem is significantly associated with higher depression. Results also show that alcohol use significantly increases depression among males, but not females which indicates that other factors are perhaps associated with depression for females. Larger implications of this research suggest incorporating all academic standing students for more diverse results.