Objectives and Methods. The aim of the present study was to evaluate, by means of receiver operating characteristic (ROC) curves, whether cognitive vulnerabilities (CV), as measured by three well-known instruments (the Beck Hopelessness Scale, BHS; the Life Orientation Test-Revised, LOT-R; and the Attitudes Toward Self-Revised, ATS-R), independently discriminate between subjects with different severities of depression. Participants were 467 young adults (336 females and 131 males), recruited from the general population. The subjects were also administered the Beck Depression Inventory-II (BDI-II). Results. Four first-order (BHS Optimism/Low Standard; BHS Pessimism; Generalized Self-Criticism; and LOT Optimism) and two higher-order factors (Pessimism/Negative Attitudes Toward Self, Optimism) were extracted using Principal Axis Factoring analysis. Although all first-order and second-order factors were able to discriminate individuals with different depression severities, the Pessimism factor had the best performance in discriminating individuals with moderate to severe depression from those with lower depression severity. Conclusion. In the screening of young adults at risk of depression, clinicians have to pay particular attention to the expression of pessimism about the future.