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Objective: This pilot study aims to empirically investigate aggression as a psychological mechanism involved in the development and persistence of depressive disorders and assess its association with the severity of depressive symptomatology. Methods: The study involved three groups: patients with depressive disorders (ICD-10 codes F32.00, F33.00, F33.11) receiving only pharmacological treatment (Group 1, N = 30) and receiving only non-pharmacological psychotherapy (Group 2, N = 18); and a control group of conditionally healthy respondents (N = 30). Assessments used the Beck Depression Inventory–II, the L. G. Pochebut Aggressiveness Questionnaire, and the C. Ryff Psychological Well-Being Scales. Statistical analysis included the Mann-Whitney U test, Wilcoxon signed-rank test, Spearman’s rank correlation coefficient, and regression analysis. Results: Patients with depressive disorders demonstrated statistically significantly higher levels of self-directed aggression (auto-aggression) and overall aggressiveness compared to the control group, as well as decreased psychological well-being. Regression analysis showed that the overall level of aggression is statistically significantly associated with the severity of depressive symptomatology and may be considered a potential predictor of depressive symptom intensity. Emotional aggression, in contrast, was negatively associated with depression severity, reflecting affect suppression as the disorder worsens. In the psychotherapy group, a significant reduction in depressive symptoms and improvement in emotional state indicators were observed, with differential effects depending on the level of personality organization (neurotic vs. borderline). Conclusions: Aggression may be considered one of the key psychological mechanisms involved in the formation and maintenance of depressive disorders and is associated with the severity of cognitive-affective and somatic symptoms. Targeted psychotherapeutic work with suppressed aggression was associated with statistically significant reductions in depressive symptomatology and with improvements in self-regulation and self-attitude indicators. The findings underscore the need to include the diagnosis and processing of self-aggression in depression treatment protocols.