The current study examined the association between the social media application Instagram and its users’ psychological well-being. Participants, both Instagram users and non-users, were surveyed online on measures of depression, anxiety, loneliness, self-esteem, body image, and social comparison. Participants who reported having an Instagram account were also asked about their time spent on Instagram and Instagram anxiety. To understand the association between Instagram and psychological well-being, the study’s first aim was to compare participants who had an Instagram account with those who did not have one. Results revealed that participants with the application reported lower levels of anxiety, depression, and loneliness, and higher levels of self-esteem, than participants who did not have an account. Furthermore, loneliness and self-esteem mediated the association between having an Instagram account and depression and anxiety. The second aim of the study was to examine what factors are associated with Instagram users’ reports of anxiety and depression, focusing specifically on participants who reported having an Instagram account. Results revealed that anxiety and depression were predicted by Instagram anxiety and social comparison, respectively. Overall, these results show that Instagram is associated with psychological well-being. However, when Instagram users experience Instagram anxiety or engage in social comparison, it is associated with poorer psychological outcomes. This research provides an insight into the psychological impact that Instagram can have on its users.