This study examined the relationship between depressive symptoms and bias in the prediction of future life events. Responding to internet announcements, 153 participants varying widely in self-reported depression symptom severity estimated the probability of 40 events occurring over the succeeding 30 days. After the 30-day period, participants reported which events occurred. Optimistic/pessimistic biases were related to level of depressive symptoms. A non-significant optimistic bias characterized participants with low depressive symptoms whereas a significant pessimistic bias characterized participants with high depressive symptoms. Those reporting mild symptoms did not exhibit a systematic pessimistic or optimistic bias. General imprecision in predictions for undesirable events was associated with depressive symptoms. These findings suggest that depression is associated with pessimistic bias rather than accuracy in judgment.