The following paper offers a new theory of conditional goal setting within a comprehensive overview of the literature on goals and depression. The past decade has seen a growing interest in the relationships between goals and depression. Several researchers have suggested that the content and framing of important goals are indicative of vulnerability to depression. For example, individuals valuing relationship goals above achievement oriented goals have been found to have a greater sense of wellbeing than individuals placing achievement goals above relationship goals. Other researchers have focused on the processes of goal pursuit. They have identified relationships between actual/ideal discrepancies, perceived progress to goal achievement and levels of depression. Reactions to goal loss and goal failure have also been an important topic of goals and depression research with a focus on the vulnerable individual's inability disengage from important failed goals. Although many of the goal theories examine what goals depressed individuals have set and how they are pursued, little research has examined why certain goals are made important. Conditional Goal Setting offers an explanation for the motivations controlling the setting of important goals in the individual vulnerable to depression. It is significant in that it describes a relationship between goal setting and depression that exists irrespective of goal success or failure.