The fundamental need to belong is considered one of the most basic human requirements, and universally motivates human behaviour. When this need to belong is not met, it increases the risk of mental health problems like depression, which was of interest in this dissertation. Due to the psychological consequences of not being accepted by others, humans are very attuned to perceived threats to belonging and have developed types of defense mechanisms to protect themselves against social exclusion. One such defense mechanism is rejection sensitivity, and the role of rejection sensitivity as it relates to depression was the underlying theme of this dissertation. Along with rejection sensitivity, there exist external and internal factors that serve as threats to belonging, and which are associated with depression. Two of these factors, rejection (an interpersonal factor) and perfectionism (an intrapersonal factor) were examined in relation to depression. Study 1 focused on peer rejection and the developmental pathways involved in its relation to rejection sensitivity, depression, and aggression in adolescence. Results showed that rejection and rejection sensitivity were preceded by either depression or aggression across adolescence, and although depression initiated the cascade leading to rejection sensitivity, there was a bidirectional relation across late adolescence as rejection sensitivity also predicted future depression. Study 2 focused on two types of perfectionism (i.e., self-oriented and socially prescribed), including the developmental pathways associated with their relation to rejection sensitivity and depression in adolescence. Socially prescribed perfectionism was directly related to future depression and rejection sensitivity mediated the relation between self-oriented perfectionism and depression. Depression initiated the cascade leading to rejection sensitivity and supported a bidirectional relation across late adolescence. Study 3 also focused on perfectionism, but cross-sectionally in young adults, and examined three types of perfectionism (i.e., self-oriented, socially prescribed, and other-oriented). Rejection sensitivity and socially prescribed perfectionism were positively related to depression, and other-oriented perfectionism was negatively related to depression; however, self-oriented perfectionism did not contribute significantly to depression. Contrary to what was predicted, rejection sensitivity was not a significant moderator in the relation between perfectionism and depression. Overall, rejection sensitivity, a defense mechanism against threats to the need to belong, played a significant role in the development and maintenance of depression in the absence of actual rejection, as well as in conjunction with specific types of perfectionism.