Objective: An association exists between perceived belonging and depression among college students. Because a student's sense of belongingness may vary as a function of their social identity, three identities -- ethnicity, first-generation college student status, and sex -- were investigated as potential moderators of this relationship. Participants: One hundred eighty-seven heavy-drinking college students (63% female; 52% non-Latinx White; M = 20 years of age) were assessed. Methods: Three hierarchical linear regressions were conducted to test whether belonging at baseline predicted depression at six months and whether each identity variable moderated this association. Results: Analyses yielded significant main effects between belonging and depression. Hispanic nor first-generation status interacted with belonging in predicting depression. Sex interacted with belonging where higher belongingness was associated with lower levels of depression only among female students. Conclusion: Mental health providers should consider asking female students about their perceptions of belonging on college campuses to understand their vulnerability to depression.