Research has not resolved whether depression is associated with a distinct information-processing bias, whether the content of the information-processing bias in depression is specific to themes of loss and sadness, or whether biases are consistent across the tasks most commonly used to assess attention and memory processing. In the present study, participants diagnosed with major depression, social phobia, or no Axis I disorder, completed several information-processing tasks assessing attention and memory for sad, socially threatening, physically threatening, and positive stimuli. As predicted, depressed participants exhibited specific biases for stimuli connoting sadness; social phobic participants did not evidence such specificity for threat stimuli. It is important to note that the different measures of bias in memory and attention were not systematically intercorrelated. Implications for the study of cognitive bias in depression, and for cognitive theory more broadly, are discussed.