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Previous studies have shown that female adolescents are at a higher risk of low self-esteem than male adolescents, and self-esteem in adolescents is critical for academic performance, adult health, and economic status. Depression, social withdrawal, and grit are predicted to be internal factors that affect self-esteem, and an integrated exploration of the relationship between them is required for a proper approach to enhance self-esteem in female adolescents. Therefore, this study investigated the influence of social withdrawal and depression on self-esteem among female adolescents and explored the mediating effect of grit on self-esteem. Data collected from 1,106 girls in the third year of middle school of the third-year survey (2020) of the Korean Children and Youth Panel Survey 2018 were analyzed in this study. For data analysis, partial least square-structural equation modeling was performed using SmartPLS 3.0. Social withdrawal was negatively related to grit, but not related to self-esteem. Depression was negatively related to grit and self-esteem. Grit was positively related to self-esteem. In addition, grit showed mediating effects in the associations between social withdrawal and self-esteem, and between depression and self-esteem in female adolescents. In conclusion, in female adolescents, the mediating effects of grit attenuated the negative effects of social withdrawal and depression on self-esteem. To enhance self-esteem in female adolescents, it is important to develop and implement strategies to strengthen grit and control negative emotional states, such as depression.