Sustained negative affect and diminished positive affect are hallmark features of Major Depressive Disorder (MDD). Difficulties in emotion regulation have been proposed to be at the core of these cardinal symptoms of MDD. It remains unclear, however, what underlies emotion regulation difficulties. Cognitive theories of depression have focused on cognitive processes and recent studies suggest that cognitive biases and deficits in cognitive control may help explain affective symptoms of this disorder. Specifically, it is proposed that cognitive biases and deficits affect emotion regulation ability thereby setting the stage for maintained negative affect and diminished levels of positive affect. The article reviews empirical studies that speak to these links and closes with a discussion of novel treatment approaches that are inspired by these ideas.