This concise review of cognitive vulnerability to depression contains the discussion of several fundamental theoretical, methodological and empirical issues related to this important subject. The main aim was to describe in some detail the construct itself and to critically evaluate the hypotheses concerning the causal relation between specific processes, structures and cognitive contents and the probability of suffering from affective disorders. Some of the most important empirical findings obtained from research on cognitive vulnerability to depression was carefully analysed. The types of designs included in the analysis ranged from research done with remitted patients, longitudinal studies and behavioural risk design type studies. The most important methodological problems were enumerated and briefly described. On the basis of those analyses it was concluded that at least several cognitive vulnerability factors can indeed significantly increase the probability of depression. At the same time the empirical findings do not seem to support the assumed causal relation unequivocally, mainly because of the methodological shortcomings of the typical designs addressing the vulnerability issue. Appreciation of cognitive vulnerability factors can lead to improvements in affective disorders therapy and in the prophylactic interventions aimed at persons showing symptoms of cognitive schemata, structures or content known to increase the risk of depression.