We conducted this study to determine the relationships between the use of self-regulated learning strategies (SRL) and depression scores among medical students. An accelerated prospective cohort study among 623 students at a public medical university in Vietnam was carried out during the academic year 2012-2013. The Depression, Anxiety and Stress Scales (21 items) was used to measure depression scores as the primary research outcome, and to measure anxiety and stress scores as the confounding variables. Fourteen SRL subscales including intrinsic/extrinsic goal orientation, task value, self-efficacy for learning, control of learning beliefs, rehearsal, elaboration, organization, critical thinking, meta-cognitive strategies, time and study environment, effort regulation, peer learning, and help seeking were measured using the Motivated Strategies for Learning Questionnaire. Data were collected at two points in time (once each semester). There were 744 responses at the first time (95.88%) and 623 at time two (drop-out rate of 16.26%). The generalized estimating equation was applied to identify any relationships between the use of each SRL subscale and depression scores at time 2, adjusting for the effects of depression at time 1, anxiety, stress, within cluster correlation, and potential demographic covariates. Separate multivariate GEE analysis indicated that all SRL subscales were significantly negatively associated with depression scores, except for extrinsic goal orientation and peer learning. Whereas full multivariate GEE analysis revealed that self-efficacyT1, help-seekingT1, time and study environmentT2 were found to be significantly negatively associated with depressionT2, adjusting for the effects of depressionT1, anxiety, stress, and demographic covariates. The results should be used to provide appropriate support for medical students to reduce depression.