The moderating roles of individualism and collectivism on the relationship between self-efficacy beliefs and depression were examined in American Indian youth from a Northern Plains tribe. Students completed measures of academic self-efficacy, individualism, collectivism, and depressive symptoms. Data reflecting students’ individualism and collectivism scores were subjected to factor analytic techniques in order to construct an appropriate measure in the current sample. We hypothesized that academic self-efficacy would evidence an inverse relationship with depression, and that this relationship would be stronger among individualistic students compared to their collectivistic counterparts. Results supported a strong inverse relationship between academic self-efficacy and depression, but this relationship was not moderated by individualism and collectivism as predicted. An exploratory analysis yielded a weak, albeit significant three-way interaction in which identification with either of these values appeared to be important for academic self-efficacy to exert its bolstering effect on depression. Findings are discussed with reference to competing theories regarding the study of self-referent processes, individualism, collectivism, and well-being (Bandura, 2002; Markus & Kitayama, 1991, 1994).