Individuals with clinical or subclinical symptoms of depression are not only characterized by alterations with respect to cognitive or emotional processes but also regarding a broad range of processes that are related to the self-regulation of behavior. The first part of this chapter outlines classic and recent models and findings that converge on the conclusion that clinical and subclinical depression is related to altered self-regulation functioning. Such dysfunctions include perfectionistic goal-setting, impairments in the spontaneous initiation of actions and task strategies, reduced approach behavior, reduced responsiveness to rewarding or punishing consequences, maladaptive responsiveness to negative feedback, altered goal or task disengagement, ruminative self-focus, as well as affect regulation difficulties. The second part of this chapter focuses on one specific psychophysiological aspect of impaired self-regulation in depression: maladaptive adjustment of effort mobilization in terms of increased or blunted cardiovascular reactivity during performance of cognitive tasks. Specifically, we report findings from a series of recent studies demonstrating that subclinically depressed individuals show increased cardiovascular reactivity for easy tasks and for tasks without performance standards. In contrast, they show reduced cardiovascular reactivity for challenging tasks and in anticipation of rewarding or punishing consequences. These results suggest that the self-regulation difficulties observed in depression are not necessarily the expression of a general motivational deficit. They rather point to a maladaptive adjustment of effort mobilization. To end with, we exemplarily outline three treatment approaches that act on depressed individuals' impaired self-regulation functioning as presented throughout the chapter.