Social anxiety is associated with judgmental biases, wherein individuals overestimate the probability that negative social events will occur and the costs associated with these events. Researchers have suggested that these biases may be central to social anxiety and treatment techniques that target judgmental biases are being evaluated (e.g. Hofmann, J Consult Clin Psychol 72:392–399, 2004; Voncken and Bögels, J Cogn Psychother 20:59–73, 2006). The present study investigated whether judgmental biases are specific to social anxiety or are also associated with depression. Four hundred and eighteen undergraduates completed measures of social anxiety, depression, and judgmental bias. Hierarchical regression analyses indicated that both social anxiety and depression make significant independent contributions to the prediction of judgmental biases. The interaction between social anxiety and depression did not contribute significantly to prediction, suggesting that depression has an additive rather than an interactive effect on bias. This carries potential implications for treatments that target judgmental bias and for research on affective confounding.