The goal of the current study was to examine whether individuals with comorbid Major Depressive Disorder (MDD) and Borderline Personality Disorder (BPD) exhibit greater severity of depressive symptoms than (1) individuals with MDD without BPD and (2) individuals with neither MDD nor BPD. One hundred and forty-one individuals participated in a semi-structured clinical interview assessing MDD and BPD. They also completed measures assessing depressive symptoms, depressogenic attributional style, hopelessness, self-esteem, rumination, and dysfunctional attitudes. In line with hypotheses, individuals with BPD and MDD exhibited higher levels of depressive symptoms and cognitive vulnerability than individuals in the other two groups. In addition, after controlling for the effects of cognitive vulnerability, the effect of group membership on depressive symptoms was reduced, suggesting that the increased severity of depressive symptoms experienced by those with BPD is partially due to their possessing higher levels of cognitive vulnerability to depression.