A growing body of research indicates that cognitive bias modification (CBM) may be an effective intervention for individuals with anxiety. However, few studies have tested whether CBM works for other disorders characterized by negative cognitive biases such as depression. This experiment tested the efficacy of CBM for altering depressogenic self-worth biases. Consistent with hypotheses, results showed that CBM was more effective than a control condition in teaching participants a more adaptive cognitive style (i.e., increased attention for adaptive self-worth stimuli). Those who successfully learned a more adaptive style reported fewer depressive symptoms and exhibited greater persistence (i.e., less helplessness) on a difficult laboratory task. However, the task proved difficult for cognitively vulnerable participants; they were not able to maintain their new learning over the entire course of the CBM training. Rather, their negative cognitive bias began to re-emerge after only 20 learning trials. These results indicate that CBM attention training might be most effective in reducing cognitive vulnerability when initially used in small doses.