Institutionalization is a current problem, related to several indicators of psychological maladjustment. In the same way, there are several studies that point to the role of shame and self-criticism in the development of psychopathology. Therefore, our study explored, in institutionalized adolescents, whether early memories of warmth and safeness (EMWS) were associated to depression through external shame and self-criticism. The sample included 171 institutionalized adolescents (60.2% girls; Mage = 15.56; SD = 1.49). Depression, EMWS, external shame and self-criticism were assessed. The EMWS didn’t show a direct effect on depression, exerting its effect indirectly through external shame and self-criticism. The relationship between EMWS and self-criticism was fully mediated by external shame, and the relationship between external shame and depression was fully mediated by self-criticism. In conclusion, the way the individual sees and relates to the self seems to impact on psychological adjustment and in the development of psychopathology. The fact that external shame and self-criticism fully mediated the relationship between EMWS and depression emphasizes the relevance of preventive and therapeutic approaches that aim to promote a healthier way of relating to the self.