Objective We examined the concurrent associations between multiple cognitive vulnerabilities to depression featured in Hopelessness Theory, Beck’s Theory, and Response Styles Theory and depressive symptoms and diagnoses in a sample of early adolescents. We also examined the specificity of these cognitive vulnerabilities to depression versus anxiety and externalizing psychopathology, controlling for co-occurring symptoms and diagnoses. Method Male and female, Caucasian and African-American, 12–13 year old adolescents were assessed in a cross-sectional design. Cognitive vulnerabilities of hopelessness, inferential style, rumination, and self-referent information processing were assessed with self-reports and behavioral tasks. Symptoms and diagnoses of depressive, anxiety, and externalizing disorders were assessed with self-report questionnaires and diagnostic interviews. Results Hopelessness exhibited the greatest specificity to depressive symptoms and diagnoses, whereas negative inferential styles, rumination, and negative self-referent information processing were associated with both depressive and anxiety symptoms and diagnoses and, in some cases, with externalizing disorders. Conclusions Consistent with cognitive theories of depression, hopelessness, negative inferential styles, rumination, and negative self-referent information processing were associated with depressive symptoms and diagnoses. However, with the exception of hopelessness, most of the remaining cognitive vulnerabilities were not specific to depression. With further maturation of our sample, these cognitive vulnerabilities may become more specific to depression as cognitive styles further develop and consolidate, the rates of depression increase, and individuals’ presentations of psychopathology become more differentiated.