The purpose of this study was to examine the relationship of perfectionism to judgmental biases, including estimates of aversiveness and probability of negative events and consequences, as well as the relationship of each of these constructs to measures of anxiety, stress, and depression. The Maladaptive Evaluative Concerns (MEC), but not the Pure Personal Standards (PPS), dimension of perfectionism was associated with greater psychological cost and perceived probability estimates, even controlling for concurrent psychological distress. In mediational analyses, judgmental bias scores significantly mediated, although only partially, the relationship between MEC-MPS scores and each measure of psychopathology. In contrast, the relationship of PPS-MPS scores to psychopathology was either non-significant or fully mediated by the judgmental bias measures, with one exception. Of the two judgmental bias factor scores, perceived probabilities rather than psychological costs most consistently mediated the relationship between the perfectionism dimensions and measures of psychological distress. This is the first study providing evidence that judgmental bias as well as the MEC dimension of perfectionism are each uniquely associated with risk for psychopathology. These findings warrant further investigation in order to elucidate how these two sets of cognitive factors increase risk for the development of psychopathology.