Objectives: to report the stages of the accomplishment of a research with nursing undergraduate students who participated in scientific initiation and to reflect about this experience with a team of researchers. Methods: the following stages are reported: insertion of the student in the project, first contacts with the theme and the research, stages of development of a research on depression among nursing students (choice of instruments, sample selection procedures and precaution in data collection), approval by the ethics committee and data analysis procedures. Results: In each stage of this experience, students and the team of the Research Group on Interpersonal Relations (NUPRI)- analyzed progresses and difficulties of the accomplishment of the research and preparation of results for publication. Conclusion: It is concluded that this learning is important to systematize the nursing practice and for the training of future graduate students and researchers. Descriptors: learning; nursing; depression; research.