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This study investigated the relative efficacy of Rational Emotive Behaviour therapy (REBT) on the management of depression among Colleges of Education students. Three research questions and two hypotheses guided the conduct of the study. A randomized control-group pre-test, post-test experimental design was employed for the study. The population for the study consisted of all students identified with depression in colleges of education in the north Central geopolitical zone of Nigeria. Three Colleges were selected to cut across two states and the Federal Capital Territory (FCT) out of the six states in the zone. A sample of 150 students were randomly selected out of the 900 students tested for depression to serve as the subjects for both experimental and control groups of the research. The instrument for data collection was adapted from Burns (1989) Depression Checklist and titled “Depression Checklist for College Students” (DCCS). The instrument was validated by three experts to establish both face and content validity. A pilot test of the instrument was done, and a test- retest method was adopted to establish the reliability index within three weeks’ interval. A reliability co-efficient of 0.84 was established. The research questions were answered by using percentage, mean and standard deviation while t-test was applied to test the hypotheses. The findings revealed that depression among college students was moderate, and REBT was found to be effective in the management of depression among the college students. REBT was also found to be effective in depression management after six weeks’ follow-up. However, the study found no significant gender difference in the management of depression among the college students, REBT was recommended to professional counsellors, counselling psychologists for the management of depression, and anxiety among college students.