Extensive evidence suggests neuroticism is a higher‐order personality trait that overlaps substantially with perfectionism dimensions and depressive symptoms. Such evidence raises an important question: Which perfectionism dimensions are vulnerability factors for depressive symptoms after controlling for neuroticism? To address this, a meta‐analysis of research testing whether socially prescribed perfectionism, concern over mistakes, doubts about actions, personal standards, perfectionistic attitudes, self‐criticism and self‐oriented perfectionism predict change in depressive symptoms, after controlling for baseline depression and neuroticism, was conducted. A literature search yielded 10 relevant studies (N = 1,758). Meta‐analysis using random‐effects models revealed that all seven perfectionism dimensions had small positive relationships with follow‐up depressive symptoms beyond baseline depression and neuroticism. Perfectionism dimensions appear neither redundant with nor captured by neuroticism. Results lend credence and coherence to theoretical accounts and empirical studies suggesting perfectionism dimensions are part of the premorbid personality of people vulnerable to depressive symptoms. Copyright © 2016 European Association of Personality Psychology