Objective To test the hypothesis that enduring depressive reactions to tragedy are due to a unique combination of three factors—close physical proximity to the event, close relationship with the victim(s), and high levels of cognitive vulnerability. Method Participants were 70 undergraduates (66% female; mean age = 18) from a midsized private university. Cognitive vulnerability and depressive symptoms were assessed 2 years before a college campus tragedy; physical proximity, relationship with the victim, and depressive symptoms were assessed 2 months after the tragedy. Results Individuals with a combination of high levels of cognitive vulnerability and close physical proximity to the event were at greater risk for enduring depression, but only if they did not have a very close relationship with the victim. Conclusion This article puts forth a testable theory that helps to explain why some individuals are at risk for enduring depressive reactions to tragedy. Implications for research and practice are discussed.