Impairments in emotional intelligence (EI) have been found in individuals with high general and social anxiety; however, no studies have examined this relationship in a clinically depressed population. Thirty-one patients (11 male, 20 female) with a DSM-IV-TR diagnosis of a major affective disorder and 28 non-clinical controls (5 male, 23 female) completed self-report instruments assessing EI, depression and social anxiety. Compared to a control group, the clinical group scored lower on the EI dimensions of Emotional Recognition and Expression, Understanding Emotions, Emotional Management, and Emotional Control. Regression analyses revealed Emotional Control was a significant predictor of interaction, performance, and generalised social anxiety. Self-report measures of EI may have predictive value in terms of early identification of those at risk of developing social anxiety and depression. The current study points to the potential value of conducting further studies of a prospective nature.