The main objective of this research was the study of the attributional style and the negative cognitive triad as predictors of subsequent depression and future academic failure, as functions of a prior academic failure. At the same time, we studied whether these cognitions were determined by previous failure and depression levels. A prospective design with two measures of depression and cognitions was used. The results showed significant relationships between both measures of depression, and between depression and cognitions. With regard to the predictive value, findings indicate that subsequent depression was mainly predicted by the previous level of depression. When its influence was controlled, the contribution of the cognitive variables was not significant in order to explain the variance of the subsequent depression. However, the individuals’ beliefs about self, their world and their future, as well as the way they explain failure appear to be determined by their concurrent or previous emotional state. Finally, the relationships between academic grades, and cognitive and depressive variables appear to be very low, although there was a transient effect of academic failure on immediate emotional state. The importance of these findings may be related to the possibility of improving the techniques aimed to treat this disorder and to prevent relapse of future depression.