The present study examines the relationships between depression, self-esteem, fear of missing out, online fear of missing out, and social media addiction in a sample of 311 Italian young adults (66.2% women and 33.8% men), ages 18–35 yrs. (M= 23.5;SD= 3.5). The following hypotheses were tested: that depression is positively correlated with fear of missing out, online fear of missing out, and social media addiction, while being significantly negatively correlated with self-esteem; that depression, self-esteem, fear of missing out, and online fear of missing out explain social media addiction scores; that self-esteem mediates the relationship between depression and social media addiction; and that, among Italian participants between the ages of 18 and 35, younger women report higher scores on fear of missing out, online fear of missing out, and social media addiction. Results strongly supported the hypotheses. Taken together, our findings not only contribute to the growing body of research on online addictive behaviors and individuals’ well-being, but also provide support for prevention programs in the field.