This article postulates a connection between the clinical phenomena of depression and dissociation. In cases of patients presenting with recurrent bouts of depression without apparent causes, rather than positing a purely biological origin of the depressed states, I suggest the presence of an underlying dissociative process triggered by intense shame. Analyzing such shame as a phenomenon of severe self-judgment fueled by hidden, grandiose self-expectations, we can detect the powerful eliminatory force of dissociative process at work. For a self-identity precariously based on inflated standards, ordinary experiences of negative evaluation can become traumatic humiliations. The radical dissociation of such injury produces a state of mind devoid of significant memories, a pervasive sense of meaningless emptiness, and an impoverished sense of self. The treatment of such depressions is based on the recognition that the depression itself is a secondary phenomenon. Retrieving the primary, intolerable not-me experience of shamed humiliation will allow the patient to mourn the loss of great expectations.