This short-term longitudinal study applied Joiner’s (2005) Interpersonal-Psychological Theory of Suicide to Asian Americans’ experiences with depression. Interpersonal shame (i.e., the experience of inadequacy arising from interpersonal concerns) was hypothesized to mediate the effects of (a) thwarted belongingness and (b) perceived burdensomeness on future depression. Furthermore, the positive associations between (a) thwarted belongingness and (b) perceived burdensomeness on future depression were hypothesized to vary depending on students’ experiences with perfectionistic family discrepancy (PFD; their perceived gap between their actual performance and what their parents expect of them). A total of 605 Asian Americans attending predominantly White, Midwestern universities completed 3 online surveys. Conditional process modeling via Hayes’s (2013) PROCESS was used to analyze the data. Results demonstrated that (a) thwarted belongingness and (b) perceived burdensomeness contributed to higher interpersonal shame, which influenced students’ future depression. Furthermore, the effect of thwarted belongingness on future depression was significantly positive for those with PFD levels greater than the 12th percentile, after taking into account students’ initial level of depression. The effect of perceived burdensomeness on future depression was not significant for those with PFD levels greater than the 3.5th percentile. This study identified that students with perfectionistic family discrepancy may be at higher risk for depression while experiencing thwarted belongingness. Overall, findings supported using Joiner’s (2005) theory to understand Asian American students’ risk for future depression. Future studies may gather data across Asian American students’ years in college. Counselors can apply these findings to increase students’ awareness about possible risk factors for depression.