Self-critical perfectionism confers vulnerability for depressive symptoms, but research suggests vulnerability persists after treatment. Dysregulation of physiological stress systems is a potential mechanism for depression vulnerability, and yet it remains under-studied in research on perfectionism, stress, and depression. We aimed to address this gap by testing the influence of self-critical perfectionism, stress generation, and stress reactivity on depressive symptoms and on diurnal cortisol. A sample of undergraduates (N = 127) completed questionnaires and provided samples of salivary cortisol twice daily (morning and evening) over three days. Data were analyzed using path analysis with diurnal cortisol activity modeled using latent growth modeling. People high in self-critical perfectionism showed a greater propensity toward depressive symptoms through stress generation and stress reactivity processes. Although self-critical perfectionism did not directly predict diurnal cortisol, results supported physiological stress reactivity. Specifically, people high in self-critical perfectionism showed increased waking cortisol in high and low stress conditions, whereas people low in this trait showed higher cortisol only in the context of high daily hassles. Results suggest prolonged physiological activity may be an important factor to consider in future research and points toward the development of bio-psycho-social models when understanding how self-critical perfectionism confers vulnerability to depressive symptoms in the context of stress generation and reactivity.