Insomnia and depression are distinct clinical phenomena, yet they are highly comorbid. One potential explanation for the high comorbidity rates is the overlap in risk factors. Atypical responses to stress, for example, place individuals at greater risk for both insomnia and depression. The goal of the present study was to simultaneously assess vulnerability to stress-related sleep disturbance (sleep reactivity) and the tendency to make negative attributions about stressful events (negative cognitive style), and how they relate to insomnia and depression. Study participants included 224 undergraduate students recruited from a large, public university in the United States. Sleep reactivity and negative cognitive style were assessed using the Ford Insomnia Response to Stress Test (FIRST) and the Cognitive Style Questionnaire (CSQ), respectively. Insomnia symptoms were assessed using the Insomnia Severity Index (ISI), and depressive symptoms were measured using the Center for Epidemiologic Studies Depression Scale (CES-D). Sleep reactivity was independently associated with greater insomnia and depression symptoms. Additionally, a negative cognitive style was related to greater depressive symptoms, and this effect was partially mediated by sleep reactivity. The current findings suggest that sleep reactivity may contribute to the development of disorders beyond insomnia. These findings further support the use of an interdisciplinary approach to investigating etiological models, and more specifically, the further exploration of how multiple stress responses (in terms of cognitions, sleep, etc.) place individuals at greater risk for developing psychopathology.