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Network theory of mental illness posits that causal interactions between symptoms give rise to mental health disorders. Increasing evidence suggests that depression network connectivity is therefore a risk factor for transitioning and sustaining a depressive state. However, much of the evidence comes from cross-sectional studies that estimate networks across groups, rather than within individuals. We used a novel method to construct personalised depression-relevant networks from social media data to test the hypothesis that network connectivity is linked to depression severity and increases during a depressive episode. We analysed Twitter data from 946 participants who retrospectively reported the dates of any depressive episodes they experienced in the past 12 months and self-reported current depressive symptom severity. Daily Tweets were subjected to textual analysis, which allowed us to construct personalised, within-subject, depression networks, based on 9 a priori text features previously associated with depression severity. The connectivity within personalized depression networks changes dynamically with changes in current depression symptoms. Social media data provides a fruitful, albeit noisy, source of data to test key within-subject predictions of network theory.