Impaired mood regulation has been considered to be a vulnerability factor for depression. However, there is a lack of studies specifically testing whether (a) negative mood regulation (NMR) expectancies and (b) emotion avoidance (EA) are associated with the risk for clinical depression. Therefore, the present study investigated these two specific facets of emotion processing in 20 formerly-depressed individuals (FD) and 20 never-depressed individuals (ND). As expected, FD reported lower NMR expectancies and stronger EA as compared to ND, suggesting that these two variables are associated with depression vulnerability. Furthermore, NMR expectancies were negatively associated with EA, indicating that individuals with lower confidence in their negative mood regulation abilities are concurrently characterized by a stronger avoidance of emotional experience. These findings strengthen hypotheses of specific emotion processing deficits in depression vulnerability.