Researchers have explored the direct association between self-esteem and depression as well as the factors that mediate it. The parallel mediating roles of life satisfaction and anxiety symptoms in the aforementioned direct link are, however, poorly understood, particularly in the Vietnamese context. This study investigated whether life satisfaction and anxiety symptoms mediate the association between self-esteem and depression symptoms among late adolescents in Vietnam. Using a cross-sectional survey, Vietnamese late adolescents (N = 408, 83.6% female; Mage = 19.95 years) completed questionnaires related to anxiety symptoms, depressive symptoms, life satisfaction, and self-esteem. The results indicated that in the parallel mediation model, both direct and indirect effects were significant (β = -0.080, p < 0.05, and β = -0.391, p < 0.01). The association between self-esteem and depression symptoms was mediated by life satisfaction and anxiety symptoms. These findings suggest that to reduce the adverse impact of self-esteem on depression symptoms, effective measures should prioritize reducing anxiety symptoms and increasing life satisfaction among late adolescents.