Cognitive approaches to emotional distress posit that specific cognitive factors are critically linked to the etiology, course, or treatment of dysfunction. Although a number of empirical studies have assessed cognitive factors in emotional disorders such as depression and anxiety, research has yet to assess these variables simultaneously and with identical cognitive measures. Using depression and test anxiety as models of dysfunctional affective states, we examined cognitive specificity on measures of information processing, attributions, automatic thinking, and cognitive interference. Results indicated a pattern of specificity showing several differences and similarities in depression and anxiety. Specifically, "purely" depressed individuals showed evidence of selectively processing depressive information, making dysfunctional attributions, and engaging in more negative automatic thinking. "Purely" anxious individuals, on the other hand, showed evidence of selective anxious information processing and increased cognitive interference. Results are discussed in terms of a taxonomy for classifying depressive and anxious cognition.