Despite the development of prominent theoretical models of goal motivation and its importance in daily life, research has rarely examined goal dysregulation processes in clinical depression. Here we aimed to investigate problematic aspects of goal regulation in clinically depressed adults, relative to controls. Depressed participants (n = 42) were recruited from two Improving Access to Psychological Therapy clinics in north-west England. Control participants (n = 51) were recruited from the same region. Participants generated personal approach goals (e.g., improve my marathon time) and avoidance goals (e.g., avoid getting upset over little things) and completed self-report measures of goal attainment likelihood and depressive symptoms. Participants also completed a measure of ease of disengagement from unattainable goals and re-engagement with new goals. Compared to controls, depressed participants reported fewer approach goals (but not more avoidance goals), rated their approach goal (rewarding) outcomes as less likely to happen and avoidance goal (threatening) outcomes as more likely to happen. Depressed participants also reported greater ease of disengagement from unattainable goals and more difficulty re-engaging with new goals than controls. Our findings extend current knowledge of the psychopathology of depression from a goal regulation perspective, suggesting that pessimism around goal pursuit accompanies fewer approach goal pursuits and a general tendency to disengage when difficulties are encountered.