Cognitive style and rumination are established cognitive vulnerabilities to depression; however, less is known about how these vulnerabilities develop. One hypothesis is that more negative affective responses to stressful events generate depressogenic cognitive responses. We hypothesized that trait negative emotionality (NE-trait) would predict greater state negative emotionality (NE-state) following a laboratory stressor, which would in turn be associated with more depressogenic cognitive responses (i.e. negative event-specific cognitive style and event-specific rumination). In a college sample (N = 87, Mean age = 20.58), we found that NE-state mediated the NE-trait—depressogenic cognitive response relationship. Results provide further support for the integration of affective and cognitive vulnerabilities to depression, providing insight into the processes by which cognitive vulnerabilities may develop.