Purpose Group identification has been shown to be associated with reduced risk of depression, but this research has important limitations. Our aim was to establish a robust link between group identification and depression whilst overcoming previous studies' shortcomings. Methods 1824 participants, recruited from General Practice throughout Scotland, completed a questionnaire measuring their identification with three groups (family, community, and a group of their choice), as well as their intensity of contact with each group. They also completed a self-rated depression measure and provided demographic information. Their medical records were also accessed to determine if they had been prescribed antidepressants in the previous 6 months. Results The number of group identifications was associated with both lower self-rated depression and lower odds of having received a prescription for antidepressants, even after controlling for the number of contact-intensive groups, level of education, gender, age, and relationship status. Conclusions Identifying with multiple groups may help to protect individuals against depression. This highlights the potential importance of social prescriptions, where health professionals encourage a depressed patient to become a member of one or more groups with which the patient believes he/she would be likely to identify.