Background Medical students are faced with enormous academic demands that may influence their emotional wellbeing. The high rate of depression among medical students and its negative impact is an impetus to find explanation for the factors associated with it. Study skills that students possess might be such a factor. The current tools for the assessment of the study skills may have certain limitations, particularly for different cultural settings. Objectives This study aimed to develop and validate a Study Skills Inventory (SSI), and to investigate the relationship between the students’ study skills and the extent (severity) of depressive symptoms, measured using the validated tool. Method The first version of the SSI was developed through expert consensus. The inventory was then administered to a randomly selected group of medical students. Confirmatory factor analysis was conducted for the internal validity. External validation was conducted by comparing the results of the SSI with the “Approaches and Study Skills Inventory for Students” (ASSIST). After validation, the correlation between the SSI total score with the Beck Depression Inventory II (BDI-II) total score was investigated using the Pearson correlation coefficient. The means of the total study skills scores for each severity category of depression were compared using ANOVA. Results A total of 23 items, representing five sub-scales, were included in the inventory. Based on 372 student responses (response rate of 93%), the five-factor solution explained a cumulative variance of 52% and Cronach alpha was 0.84. The SSI total score had a significant negative association with the BDI-II depression score (Pearson correlation of -.348** and P<0.0001). Conclusion This study showed evidence for acceptable reliability and validity of the newly developed SSI. Poor study skills were found to correlate with higher depressive symptoms. This association needs confirmation in future research and could open a new door for better understanding of student depression.