Depression and Social Anxiety Disorder are commonly conceptualized by the presence of negative affect. However, these disorders are also characterized by lack of positive affect, presence of negative cognitions, and emotion dysregulation which may play an important role in the onset and maintenance of these disorders. The present study explored differences among these variables in 189 clinical patients diagnosed with Major Depression, Social Anxiety Disorder, or both. Results showed differences in lack of positivity F(2, 185) = 18.92, p = .0001, η2 = .17, presence of negative cognitions F(2, 185) = 13.97, p = .0001, η2 = .13, and the use of rumination F(2, 185) = 14.63, p = .0001, η2 = .14 and punishment F(2, 181) = 7.64, p = .001, η2 = .08 among groups. Overall, lack of positivity, negative cognitions, and emotion dysregulation were elevated in the comorbid group, whereas lack of positivity and negative cognitions were specifically found for patients diagnosed with depression compared to socially anxious patients. In addition, the study examined the relation of both, lack of positivity and negative cognitions, to emotion regulation processes among groups. Overall, lack of positivity was associated with fear and avoidance in the social anxiety group (all r > .417, p < .01), whereas lack of positivity and negative cognitions were associated with rumination across the three groups (all r > .370, p < .01). Limitations of the present study and future directions are discussed.