Mood and anxiety disorders share considerable phenomenological and diagnostic overlap. Several models have advanced the understanding of the phenomenological overlap of anxiety and depression; however, identification of disorder-specific etiological mechanisms remains elusive. Recently, research has advanced several cognitive vulnerability-stress models proposing that one's characteristic way of attending to, interpreting, and remembering negative events contributes vulnerability to psychopathology. These cognitive vulnerabilities may elucidate specific etiological mechanisms that distinguish mood and anxiety pathology. The present study examines the specificity of three cognitive vulnerability constructs, the looming cognitive style, anxiety sensitivity, and explanatory style, in the prediction of latent anxiety disorder symptoms and latent depression symptoms. Structural equation modeling analyses indicated that the looming cognitive style demonstrated specificity predicting only anxiety disorder symptoms whereas anxiety sensitivity and a pessimistic explanatory style predicted both anxiety disorder and mood disorder symptoms. Implications for future research are discussed.