Background: Cognitive reactivity to sad mood is a vulnerability marker of depression. Implicit self-depressed associations are related to depression status and reduced remission probability. It is unknown whether these cognitive vulnerabilities precede the first onset of depression. Aim: To test the predictive value of cognitive reactivity and implicit self-depressed associations for the incidence of depressive disorders. Methods: Prospective cohort study of 834 never-depressed individuals, followed over a two-year period. The predictive value of cognitive reactivity and implicit self-depressed associations for the onset of depressive disorders was assessed using binomial logistic regression. The multivariate model corrected for baseline levels of subclinical depressive symptoms, neuroticism, for the presence of a history of anxiety disorders, for family history of depressive or anxiety disorders, and for the incidence of negative life events. Results: As single predictors, both cognitive reactivity and implicit self-depressed associations were significantly associated with depression incidence. In the multivariate model, cognitive reactivity was significantly associated with depression incidence, together with baseline depressive symptoms and the number of negative life events, whereas implicit self-depressed associations were not. Conclusion: Cognitive reactivity to sad mood is associated with the incidence of depressive disorders, also when various other depression-related variables are controlled for. Implicit self-depressed associations predicted depression incidence in a bivariate test, but not when controlling for other predictors.