Background: According to the vulnerability model, low self-esteem makes people more depressed. Support for the vulnerability model comes almost exclusively from analyses using cross-lagged panel models, showing a negative effect of initial self-esteem on subsequent depression ratings when adjusting for initial depression. However, it is well known that such adjusted effects are susceptible to regression toward the mean. Methods: Data from four waves of measurements in five different samples (total N = 2703) were analyzed with two different cross-lagged panel models, two different random intercept cross-lagged panel models, and two different latent change score models, predicting change forwards as well as backwards in time. Results: High initial self-esteem predicted both decreased and increased depression ratings between measure-ments and an increase in self-esteem between measurements predicted a concurrent decrease in depression ratings.Limitations: Only data from two western countries, Switzerland and USA, were analyzed. Whether the main finding, that a prospective effect of self-esteem on subsequent depression ratings might be spurious, applies to other countries and cultures remains an open question. Conclusions: Due to the incongruent results, any causal effect of self-esteem on depression ratings, and thus the vulnerability model as such, cannot be corroborated by the data and models analyzed here. Instead, we propose, tentatively, that prospective associations between self-esteem and depression ratings may be spurious due to a combination of reasons, including regression toward the mean. The indication that depression might not be affected by measures to improve individuals' self-esteem is of clinical relevance.