Neuroticism overlaps substantially with several perfectionism dimensions, depression, anxiety, stress, and life satisfaction. Accordingly, research testing whether perfectionism dimensions explain unique variance in these outcomes beyond neuroticism is needed. Research on cultural differences in perfectionism is also scarce. And it is especially unclear whether the link between perfectionism and psychological distress differs across individualistic and collectivistic cultures. Our study addressed these important gaps in knowledge. A sample of undergraduates from a traditionally individualistic culture (Canada; N = 449) and a traditionally collectivistic culture (China; N = 585) completed measures of self-oriented perfectionism, personal standards, socially prescribed perfectionism, concern over mistakes, doubts about actions, depression, anxiety, stress, and satisfaction with life. To test the incremental validity of perfectionism dimensions beyond neuroticism, as well as to test potential moderating effects of culture, four hierarchical regression analyses with interactions were conducted. Results supported the explanatory power of concern over mistakes and doubts about actions, beyond neuroticism and culture, in the prediction of depression, anxiety, and stress. As the first study to explore the incremental validity of perfectionism dimensions across undergraduates from traditionally individualistic and collectivistic cultures, our research both extends and clarifies understanding of the predictive power of perfectionism in important ways.