Perfectionistic automatic thoughts have been linked with depressive symptoms in numerous cross-sectional studies, but this link has not been assessed in longitudinal research. An investigation with two timepoints was conducted to test whether perfectionistic automatic thoughts, as assessed by the Perfectionism Cognitions Inventory (PCI), are contributors to subsequent depression or vice versa. The possible role of a third factor (major life events stress) was also evaluated. A sample of 118 university students completed the PCI, the Center for Epidemiologic Studies Depression Scale (CES-D), and the Life Experiences Survey on two occasions with a 5-month interval. A cross-lagged analysis using structural equation modeling showed that above and beyond within-time associations and across-time stability effects, perfectionism automatic thoughts contributed to subsequent depressive symptoms and not vice versa. Negative life events stress was correlated significantly with both depressive symptoms and perfectionism automatic thoughts but did not have an influence on Time 2 depressive symptoms or on perfectionistic automatic thoughts. Our discussion focuses on perfectionistic automatic thoughts as a contributor to depressive vulnerability according to the perfectionism cognition theory.