In this paper we have two main aims. First, we present an account of mood-congruent delusions in depression (hereafter, depressive delusions). We propose that depressive delusions constitute acknowledgements of self-related beliefs acquired as a result of a negatively biased learning process. Second, we argue that depressive delusions have the potential for psychological and epistemic benefits despite their obvious epistemic and psychological costs. We suggest that depressive delusions play an important role in preserving a person's overall coherence and narrative identity at a critical time, and thus can be regarded as epistemically innocent.