Social comparison is an important process that affects an individual’s self-assessment and subjective well-being. Previous studies have observed abnormal social comparison tendencies among depressed individuals, which may account for their social avoidance behavior. In this study, we asked participants to finish a simple gambling task with a friend, during which they could observe the outcome of their choice and that of their friend’s simultaneously (which were pseudorandomly determined). Behavioral measures and event-related potentials (ERP) elicited by outcome presentation (including the P2, feedback-related negativity, and P3 components) were recorded and analyzed. The whole sample consisted of a depression tendency (DT) group and a non-depressive control group, which were divided according to individual scores on Symptom Checklist-90 and Self-Rating Depression Scale. Compared to the controls, the DT group was generally in a more negative mood both before and after the experiment, as demonstrated by Positive Affect and Negative Affect Scale data. No between-group difference was detected regarding participants’ relationship closeness with their friend (as measured by the Inclusion of Other in the Self Scale) or self-reported outcome satisfaction. In contrast, the influence of depression on the P2 and FRN was significant. Specifically, the P2 elicited by self-win was larger in the controls than the DT group; also, it was sensitive to friend’s outcome in the DT group but not the control group. Finally, the FRN was sensitive to self-outcome in the DT group only when their friends had won. In our opinion, these results could be interpreted according to the relationship between depression and low self-esteem: compared to non-depressive ones, depressed individuals’ self-assessment is more susceptible to other people’s status, indicating more vulnerable self-esteem.