Depressed individuals are excessively sensitive to negative information but blunt to positive information, which has been considered as vulnerability to depression. Here, we focused on inhibitory control over attentional bias on social evaluation in individuals with depression. We engaged individuals with and without depressive symptoms (categorized by Beck Depression Inventory-II) in a novel attention control task using positive and negative evaluative adjectives as self-referential feedback given by social others. Participants were instructed to look at sudden onset feedback targets (pro-saccade) or the mirror location of the targets (anti-saccade) when correct saccade latencies and saccade errors were collected. The two indices showed that while both groups displayed longer latencies and more errors for anti-saccade relative to pro-saccade responses depressed individuals spent more time reacting correctly and made more errors than non-depressed individuals in the anti-saccade trials and such group differences were not observed in the pro-saccade trials. Although group differences in correct anti-saccade latencies were found for both positive and negative stimuli, depressed individuals spent more time making correct anti-saccade responses to negative social feedback than to positive ones whereas non-depressed individuals featured longer correct anti-saccade latencies for positive relative to negative evaluations. Our results suggest that depressed individuals feature an impaired ability in attention control for self-referential evaluations, notably those of negative valence, shedding new light on depression-distorted self-schema and corresponding social dysfunctions.