This study sought to provide a more rigorous prospective test of two cognitive vulnerability models of depression with longitudinal data from 496 adolescent girls. Results supported the cognitive vulnerability model in that stressors predicted future increases in depressive symptoms and onset of clinically significant major depression for individuals with a negative attributional style, but not for those with a positive attributional style, although these effects were small. This model appeared to be specific to depression, in that it did not predict future increases in bulimia nervosa or substance abuse symptoms. In contrast, results did not support the integrated cognitive vulnerability self-esteem model that asserts stressors should only predict increased depression for individuals with a confluence of negative attributional style and low self-esteem, and this model did not appear to be specific to depression.