This study was guided by the social rank theory of depression and aimed to explore the relationship between depression, anxiety, stress and self-harm with striving to avoid inferiority, feelings of shame and styles of attachment. Participants diagnosed with depression (n = 62) completed a series of questionnaires measuring striving to avoid inferiority, fears of missing out, being overlooked and active rejection, attachment, social rank and psychopathologies. Striving to avoid inferiority was significantly linked to social rank variables and anxious attachment. Mediator analyses revealed that the relationship between striving to avoid inferiority and depression was mediated by the social rank variable of external shame, and also anxious attachment. These findings suggest that elevated competitive behaviour can have a 'dark side'. When people feel insecure in their social environments, it can focus them on a hierarchical view of themselves and others, with a fear of rejection if they feel they have become too inferior or subordinate. This may increase vulnerability to depression, anxiety and stress.