The purpose of this investigation was to demonstrate whether personality and cognitive factors associated with depression and drinking were behavior-specific or general to problem behavior in youth. High school students aged 14–18 completed measures of trait disinhibition, trait inhibition, alcohol expectancies, and generalized outcome expectancies. Linear regression determined the relative contribution of each set of personality and cognitive variables in predicting drinking symptoms and symptoms of depression in youth. In the case of depression, depression factors, particularly cognitive factors, predicted 42% of the variance above and beyond background and alcohol variables. In the case of drinking, drinking risk factors predicted 42% of the variance in drinking symptoms above and beyond demographic variables and variables associated with depression. Despite small cross over in prediction (e.g., alcohol variables accounting for 4% unique variance in depression), personality and cognitive factors associated with drinking and depression were largely specific in this adolescent sample.