Perfectionism is a vulnerability factor for a wide array of psychopathology. Despite much evidence suggesting dysregulated stress response as an intermediary process that links perfectionism to psychopathology, the lack of a cross-lagged examination deterred researchers from making causal interpretations. This study examined the directionality of effects among perfectionism dimensions, stress reactivity, and depression. A total of 189 participants at time 1 and 94 at time 2 completed an online survey that consisted of measures of perfectionism, stress reactivity, and depression, one month apart. Cross-lagged analysis results showed that personal standards perfectionism predicted later prolonged stress reactivity but not depression at time 2. Self-critical perfectionism predicted later depression but not prolonged stress reactivity at time 2. Rather, prolonged stress reactivity at time 1 predicted self-critical perfectionism at time 2. Findings suggest that perfectionism dimensions are distinct in creating a dysregulated stress process. Future studies could incorporate other stress-related variables (e.g., coping) to further explicate the stress-generation process, in conjunction with stress reactivity.