The purpose of this study is to explore the role of sex differences and personality in vulnerability to depression. Sex differences in personality and some clinical variables are described. We also assess the value of the variables that revealed significant sex differences as predictors of vulnerability to depression. In a group of adult participants (N = 112), 50% males and 50% females (mean age = 41.30; SD = 15.09; range 17- 67), we studied sex differences in the three-factor personality model, using the Eysenck Personality Questionnaire, Form A (EPQ-A; Eysenck & Eysenck, 1975), and in the Five-Factor Personality Model, with the NEO Personality Inventory (NEO-PI; Costa & McCrae, 1985). The following clinical scales were used: the Beck Depression Inventory (BDI; Beck, Rush, Shaw, & Emery, 1979), the Schizotypy Questionnaire (STQ; Claridge & Broks, 1984; Spanish version, Carrillo & Rojo, 1999), the THARL Scales (Dua, 1989, 1990; Spanish version, Dua & Carrillo, 1994) and the Adjustment Inventory (Bell, 1937; Spanish version, Cerdá, 1980). Subsequently, simple linear regression analysis, with BDI scores as criterion, were performed to estimate the value of the variables as predictors of vulnerability to depression. The results indicate that a series of personality variables cause women to be more vulnerable to depression than men and that these variables could be explained by a negative emotion main factor. Results are discussed within the framework of the psychological behaviorism theory of depression.