Depression is a common reason university students seek counseling. Various internal cognitive processes are risk factors for college students' depression (e.g., anxiety, stress level, inability to manage stressors, brooding rumination, and self-deprecating thoughts). We used dominance analyses to determine the relative contribution of each internal cognitive process in explaining depressive symptoms, which process was most important, and whether any process completely dominated other processes. Self-report data were collected from 5,033 ethnically-diverse university students (18-25 years). Women (compared to men) reported significantly higher depressive symptoms, anxiety, stress level, inability to manage stressors, brooding, and self-deprecation. The combination of internal cognitive processes accounted for substantial variance in depressive symptoms in women and men. Each internal cognitive process made unique contributions, although complete dominance was not found. The order of relative contribution from most important to least important follows: generalized anxiety, inability to manage stressors, self-deprecation, stress level, and brooding rumination.