Background: The purpose of this study was to determine the association between social media dependence and depressive symptoms and also, to characterize the level of dependence. It was a transversal, analytical research. Subjects and Methods: The stratified sample was 212 students from a private university that used Facebook, Instagram and/or Twitter. To measure depressive symptoms, Beck Depression Inventory was used, and to measure the dependence to social media, the Social Media Addiction Test was used, adapted from the Internet Addiction Test of Echeburúa. The collected data were subjected for analysis by descriptive statistics where STATA12 was used. Results: The results show that there is an association between social media dependence and depressive symptoms (PR [Prevalence Ratio] = 2.87, CI [Confidence Interval] 2.03–4.07). It was also shown that preferring the use of Twitter (PR = 1.84, CI 1.21–2.82) over Instagram (PR = 1.61, CI 1.13–2.28) is associated with depressive symptoms when compared to the use of Facebook. Conclusion: Excessive social media use is associated with depressive symptoms in university students, being more prominent in those who prefer the use of Twitter over Facebook and Instagram.