Over the past 20 years, there has been considerable interest in the role of cognitive factors in the stress generation process. Generally, these studies find that depressed individuals, or individuals at cognitive risk for depression, are more likely to experience stressful life events that are in part influenced by their own characteristics and behaviours (i.e., negative dependent events). However, there is still much to be learnt about the mediators of these effects. For example, does the development of depression symptoms explain why individuals at cognitive risk for depression experience increased negative dependent events? Or, is it that increases in cognitive risk explain why depressed individuals experience increased negative dependent events? To explore these questions, a short-term prospective study was conducted with 209 college students who were given measures of depression, depressogenic risk factors (i.e., negative cognitive style and hopelessness), and negative dependent events at two time points 6 weeks apart. Support was found for three models: (1) depression symptoms mediated the relationship between negative cognitive style and negative dependent events; (2) depression symptoms mediated the relationship between hopelessness and negative dependent events; and (3) first hopelessness and then depression symptoms mediated the relationship between negative cognitive style and negative dependent events in a multiple-step model. In contrast, the reverse models were not confirmed, suggesting specificity in the direction of the mediational sequence.