<p>When feeling sad, individuals higher (vs. lower) in depression tend to adopt less lofty prohedonic goals. We tested whether this phenomenon could, in part, be due to people higher in depression believing that sadness is more concordant with their self-concept and therefore wanting to reduce it less. We tested this idea across two preregistered studies with non-clinical participants who completed a dimensional measure of depression and were placed in a sad mood. In Study 1 (<i>N</i> = 413), participants higher (vs. lower) in depression set less lofty prohedonic goals and indicated greater sadness under conditions wherein they were instructed to accurately (vs. inaccurately) express their identity to an audience. In Study 2 (<i>N</i> = 269), although participants higher in depression wanted to convey a less extreme version of their sadness to others, they reported that their experienced sadness was more harmonious with their self-concept and this judgment, in turn, related to wanting to convey a longer lasting sadness to others. Broadly, our findings suggest that, when induced to feel sad, individuals higher (vs. lower) in depression may pursue emotion regulation goals, in part, due to a perceived concordance between the experience of sadness and beliefs about the self (i.e., level of depression).</p>