We aimed to identify transdiagnostic psychological processes associated with persecutory delusions. Sixty-eight schizophrenia patients, 47 depressed patients, and 33 controls were assessed for paranoia, positive and negative self-esteem, estimations of the frequency of negative, neutral, and positive events occurring to the self in the past and in the future and similar estimates for events affecting others in the future. Negative self-esteem and expectations of negative events were strongly associated with paranoia in all groups. Currently deluded patients were asked to rate whether their persecution was deserved on an analogue scale. Mean deservedness scores were higher in deluded-depressed patients than deluded-schizophrenia patients, but patients in both groups used the full range of scores. The findings indicate that negative self-esteem and negative expectations independently contribute to paranoia, but do not support a simple categorical distinction between poor-me (persecution undeserved) and bad-me (persecution deserved) patients.