Social comparisons are a core feature of human life. Theories posit that social comparisons play a critical role in depression and social anxiety triggering negative evaluations about the self, as well as negative emotions. We investigated the neural basis of social comparisons in participants with major depression and/or social anxiety (MD-SA, n = 56) and healthy controls (n = 47) using functional magnetic resonance imaging. While being scanned participants performed a social comparison task, during which they received feed-back about their performance and the performance of a coplayer. Upward social comparisons (being worse than the coplayer) elicited high levels of negative emotions (shame, guilt, and nervousness) across participants, with this effect being enhanced in the MD-SA group. Notably, during upward comparison the MD-SA group showed greater activation than the control group in regions of the default mode network (DMN). Specifically, for upward comparison MD-SA participants demonstrated increased activation in the dorsomedial prefrontal cortex and reduced deactivation in the posteromedial cortex, regions linked to self-referential processing, inferences about other people’s thoughts, and rumination. Findings suggest that people with depression and social anxiety react to upward comparisons with a more negative emotional response, which may be linked to introspective processes related to the DMN.