The objective of this investigation was to evaluate and expand the goal-orientation model of depression vulnerability proposed by B. M. Dykman (1998), which posits that a performance orientation creates a vulnerability to depression through repeated failure. This hypothesis was tested in 5 studies with students in Grades 5 and 6. A performance-approach goal orientation was associated positively with achievement, effort, and persistence and negatively with anxiety and depression. Stress and causal components of the theory were supported by results of structural equation modeling, which suggested that negative affect, low achievement, and depression are correlates of performance-avoidance goals. Empirical evidence supported the hypothesis that early negative effects of a performance-approach orientation may be due to the presence of avoidance motivation. Findings suggest that dichotomizing performance goal orientations is instrumental to a sound understanding of motivation, achievement-related processes, and depression.