Evidence suggests cognitive styles are associated with depression; however, little research has examined cognitive styles in early childhood. Using developmentally appropriate, stress-inducing laboratory paradigms to assess young children’s cognitive vulnerability, the current study assessed negative and positive cognitive styles, their concurrent associations with well-established risk factors for depression in early childhood, and their stability from early to middle childhood. Participants included 173 preschool-aged children and their parents. Cognitive styles were assessed by coding children’s negative and positive self-referent and non-self-referent verbalizations and assistance-seeking verbalizations during stress-inducing laboratory tasks during early childhood (Wave 1; ages 3–5) and middle childhood (Wave 2; ages 6–10). Children’s Wave 1 verbalizations were concurrently associated with exposure to maternal depression, child negative and positive temperamental emotionality, and child externalizing psychopathology. Assistance-seeking verbalizations demonstrated homotypic continuity from Wave 1 to Wave 2, and both assistance-seeking verbalizations and negative non-self-referent verbalizations at Wave 1 predicted increases in negative self-referent verbalizations from Wave 1 to Wave 2. Findings suggest that cognitive styles can be observed in young children when using an ecologically valid assessment and are linked to risk factors for depression. Further research is warranted to elucidate the development of cognitive vulnerability in young children, which may inform prevention and early interventions targeting cognitive risk for depression.