Background: Community surveys indicate that many people with depressive disorders do not obtain professional help and that a preference for self-reliance is an important factor in this treatment gap. The current study sought to investigate whether stigmatising attitudes predict a belief in the helpfulness of dealing with depression without external assistance. Methods: Data were collected as part of a national household survey of 2000 Australian adults aged 18 years and above. Participants were presented with either a vignette depicting depression (n = 1001) or a vignette depicting depression with suicidal ideation (n = 999) and asked if it would be helpful or harmful to deal alone with the problem. Logistic regression analyses were conducted to determine if belief in dealing with depression alone was predicted by personal stigma, perceived stigma or sociodemographic characteristics. Results: Higher levels of personal stigma independently predicted a belief in the helpfulness of dealing alone with both depression and depression with suicidal ideation. By contrast, lower levels of perceived stigma were associated with a belief in the helpfulness of dealing alone with depression without suicidal ideation. Conclusions: Personal stigma is associated with a belief in the helpfulness of self-reliance in coping with depression. Public health programs should consider the possibility that a belief in self-reliance is partly attributable to stigma. The findings also point to the potential importance of providing evidence-based self-help programs for those who believe in self-care.