Five major Existential Concerns (ECs) have been posited: Death, Isolation, Identity, Freedom, and Meaning (see Koole, Greenberg, & Psyzezynski, 2006). The present study is an analysis of the inter-relations between all five ECs, as well as their relationships with depression and existential thinking. A sample of 221 participants (mean age 31 years) provided demographic details and completed a battery of questionnaires. Findings revealed the ECs to be positively and significantly inter-related, except for the presence of meaning, which correlated negatively with all other concerns. All ECs, except for the presence of meaning, correlated positively with depression and existential thinking. Multiple regression analyses revealed existential loneliness to be the strongest predictor of depression, and the search for meaning to be the strongest predictor of existential thinking. We argue that a more informed psychological understanding of the ECs can be reached through studying their inter-relationships, rather than focusing on any given individual concern in isolation from the other four.