This study investigated the relationship between alexithymia and depression amongst university students and how it is mediated by anxiety. Data was collected from a sample of university students (n= 74, Men = 41, Women = 33) aged 18 to 25 (Mean = 22.05, SD = 0.38). The findings revealed a statistically significant gender difference with men being more alexithymic than women. There was a significant positive correlation between the alexithymic subscales difficulty identifying feelings (DDF) and difficulty describing feelings (DIF), depression and anxiety. DDF and DIF along with anxiety predicted depression. Anxiety partially mediated the relationship between DIF and depression but completely mediated the relationship between DDF and depression. Alexithymic features DDF and DIF predict depression in the sample but Externally Oriented Thinking (EOT) did not. Anxiety was found to be an underlying mechanism operating in the between alexithymic features and depression.