A depressogenic attributional style, i.e., internal, stable and global causal interpretations of negative events, is a stable vulnerability factor for depression. Current measures of pessimistic attributional style can be time-consuming to complete, and some are designed for specific use with student populations. We developed and validated a new short questionnaire suitable for the measurement of depressogenic attributions in clinical settings, the Depressive Attributions Questionnaire (DAQ). The 16-item DAQ, and measures of depression and related cognitive concepts were completed by three samples of depressed patients and matched controls, or depressed and non-depressed participants who had been exposed to a recent uncontrollable stressful life event (total N = 375). The DAQ had high (i) internal reliability, (ii) test-retest reliability, (iii) convergent, discriminant and construct validity. It predicted a diagnosis of major depression at 6 months after an uncontrollable stressor, over and above what could be predicted from initial depression severity. Depressed patients rated the scale as acceptable. The DAQ may be a useful short measure of depressogenic attributions, which is easy to administer, and predicts concurrent and future depression. It has possible applications as a screening measure for risk of depression, or as a treatment process measure.