Cognitive behavioral approaches differ in their views on core cognitions and their hypothesized role in the etiology of depression and anxiety. The present study provides empirical evidence regarding the relationship between irrational beliefs and components of automatic thoughts and their role in the etiology of depression and anxiety. The present study utilized newer and improved questionnaires to assess components of irrational belief. Based on prior research by Safren et al. (Cogn Ther Res 24(3):327–344, 2000), a three-factor structure of the combined automatic thought questionnaires were utilized to measure components of automatic thoughts as they relate to depression and anxiety. Factor analytical methods were utilized to confirm the factor structure of the irrational beliefs and automatic thoughts components. Advanced path modeling was utilized to model the relationship between irrational beliefs and automatic thoughts in predicting anxiety and depression. The study used a sample of N = 542 undergraduate psychology students during stressful exam times. Results indicated that the irrational belief Demandingness represents a primary factor, followed by the secondary irrational beliefs as proposed by Rational Emotive Behavioral Theory. Selfdowning beliefs were fully mediated by depressive automatic thoughts in the case of depressive affect. Low frustration tolerance contributed unique variance to anxious and depressive affect that was not fully mediated by automatic thoughts. Results from the present study add empirical evidence that irrational beliefs indeed represent core and intermediary beliefs that lead to specific automatic thoughts, which is congruent with cognitive behavioral theory as proposed by Rational Emotive Behavioral Therapy.