Few studies have explored the importance of worry-related metacognitions and thought control strategies in major depressive disorder. The present study explored how metacognitions and thought control strategies differentiated currently depressed (n = 37), previously depressed (n = 81) and never-depressed individuals (n = 50). Discriminant function analysis was performed to investigate group differences on the Metacognitions Questionnaire-30, Thought Control Questionnaire, and Ruminative Response Scale. The analysis revealed that currently depressed participants scored significantly higher than previously depressed participants and that previously depressed participants scored higher than never-depressed participants on negative metacognitive beliefs, rumination, worry and the use of punishment as a thought control strategy. The discriminant function analysis further showed that previously depressed participants had a higher use of the thought control strategy reappraisal, along with lower dysfunctional metacognitions concerning the need to control their thoughts, higher confidence in their cognitive function and lower levels about the need to worry, compared to both the currently and never-depressed groups. The results indicate that metacognitions and thought control strategies could be promising vulnerability markers for depression.